Questions tagged [fgarch]
30 questions
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0 answers
Error when trying to run tests on residuals to test OLS assumption of mean model in ugarch loop
with_progress({
# Initialize the progress bar
pb <- progressor(along = unique(pct_women_exec$ticker))
# Precompute unique tickers
unique_tickers <- unique(pct_women_exec$ticker)
# Use lapply to fit models for each ticker
…
Patrik Jørgensen
- 1
- 1
0
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0 answers
How to upload stock price csv in a time series format in R?
I am trying to run a multivariate garch model in R. I have my own csv file which contains returns of stock, bond, hold along with the dates (2018-01-01 to 2022-12-30). But the problem is I am not able to upload my csv in a time series format like…
Abishek S
- 1
- 2
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0 answers
Skew Student-t Distribution and Parameter Estimation
When i run my code :
asset1 = x
est.asset1 = as.numeric(sstdFit(asset1)$estimate)
I get this error:
Warning messages:
1: In sqrt(nu - 2) : NaNs produced
2: In beta(1/2, nu/2) : NaNs produced
3: In nlm(f = loglik, p = p, y = x, ...) :
NA / Inf…
Marwa
- 1
0
votes
0 answers
How to perform automated ARCH and GARCH selection in R with multiple variables?
In short
A simple method for selecting optimal arch and garch order when running a GARCH model on multiple individual variables in R does not exist, as far as I can tell. I have a data frame with multiple columns containing stock returns. I want to…
Chrisabe
- 65
- 5
0
votes
0 answers
How to forecast the portfolio’s conditional volatility estimate for the next trading day in R
I have estimated a multivariate conditional variance model for six selected stocks, using PCA to estimate the factor structure of the stock returns and univariate volatility models to model the factor variance(s). On the basis of these estimates,…
Yutong Jiang
- 1
- 1
0
votes
0 answers
Probability Integral transform OXMETRICS G@RCH
I'm new using Oxmetric7, so my question might be too simple. I'm estimating GARCH models to model marginal distribution of asset log returns and then apply the probability integral transform (PIT) to the standardized residuals of the GARCH model and…
Juan Vargas
- 13
- 4
0
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0 answers
Correlation of squared residuals after fitting ARIMA
Test statistics for Ljung Box
# arima model residuals
arima_resid = arima_res.resid ** 2
# ljung box test
lb_test = acorr_ljungbox(x=arima_resid)
# acf and pacf plot of squared arima residuals
resid_acf = plot_acf(x=arima_resid)
resid_pacf =…
tnguyen8935
- 1
- 1
0
votes
0 answers
External regressors seem to be ignored ugarchspec
I am attempting to specify the following GARCH(1,1) model's in R (regressing realized volatility on trading volume).
RV = realized volatility
V = trading volume
**RV = a + b*V + error
**error ~ N(0,h(t))
h(t) = c + d(error(t-1))^2 + dh(t-1) +…
Donal healy
- 1
- 1
0
votes
1 answer
How to turn text labels in Chronosys LaTeX
I need to turn for 45º my text in my timeline in LaTeX:
\documentclass[a4paper,12pt]{article}
\usepackage{chronology}
\usepackage{chronosys}
\begin{document}
\startchronology
\chronoevent{1982}{ARCH $\Rightarrow$ \newline Robert…
Rodrigo H. Ozon
- 125
- 7
0
votes
1 answer
"invalid term in model formula" error when running the garchFit function in the fGarch R package
I want to run the examples in the help document of the garchFit() function in the fGarch R library, and come against the following error:
"Error in terms.formula(formula, data = data) :
invalid term in model formula"
Here's the first example in the…
0
votes
1 answer
How to rolling calculate in tidyverse?
I encounter a problem in calculate some variable in R.
It is about the volatility model (GARCH).
The formula I need to apply is this:
For the first sigma, I use some default value I calculated before. From the second, I need to quote the previous…
Jacy
- 21
- 2
0
votes
1 answer
DCC Garch model in R goes really long
I want to estimate DCC GARCH model in R. I have data which contains 340 observation and 10 variables. Those are the logarythimc return rates of my data:
[enter image description here][1]
# univariate normal GARCH(1,1) for each series
garch11.spec =…
kasandraaa
- 51
- 4
0
votes
1 answer
acf() Function plots very large lags
In order to define which Garch Model I should use I tried using the acf function on my daily returns.
I used the following code:
acf.pax=acf(pax_daily_return,main='ACF PAX',lags.max = 12, ylim=c(- 0.5,1))
However, when I plot it my y axes…
Nina
- 11
- 2
0
votes
1 answer
How to obtain GARCH volatility for 100 firms in a single CSV in r?
I am a newbie to R programming environment. Can anyone please help me with the following problem:
I have a .csv file with stock return data for 100 odd firms (207 days each). I need to estimate GARCH volatilities for each firm and save the output…
Aditya
- 1
- 2
0
votes
0 answers
R cannot find g77
I am trying to install from Cran the R package "fGarch", using install.packages('fGarch') I am on Ubuntu, I have r-base-dev and r-base-core installed.
But the install fails because:
77 -fno-optimize-sibling-calls -fpic -g -O2…
Alessandro
- 41
- 6