[R] RuGarch issue
GALIB KHAN
ghk18 @ending from @c@rletm@il@rutger@@edu
Fri Aug 17 21:27:05 CEST 2018
Sup guys,
Got an interesting issue with the rugarch package.
I noticed that when I changed the order of the external regressors, there
are different values for the robust coefficient matrix. The values should be
the same (according to the ordering of the variables). However, I am getting
drastically different results. At that time the model was arma(2,2) +
garch(1,0).
Is this considered a normal behavior of the rugarch package? I assume that
when you change the ordering of the external regressors the output should be
exactly the same....digit by digit.
I confirmed this issue by creating a generic script that can be tested by
anyone. Has anybody faced this issue before or is there post that describes
the issue that I am facing?
Maybe I am going insane...for now I will look further into the
documentation that our Alexios has provided
Thanks!
library(rugarch)
set.seed(1)
x1 <- rnorm(1000,5,1)
x2 <- rnorm(1000,3,3)
y <- .5*(x1*x2) + rnorm(1000,1,3)
dat <- data.frame(x1,x2,y)
var1 <- c("x1","x2")
var2 <- c("x2","x1")
# setbounds(spec)<-list(vxreg1=c(-1,1))
model_maker <- function(x_name){
temp <- dat[,c("y",x_name)]
spec <- ugarchspec(variance.model = list(model = "sGARCH",
garchOrder = c(1,0)),
mean.model = list(armaOrder = c(2,2),
external.regressors =
as.matrix(temp[,x_name]),
include.mean= T),
distribution.model = "std")
fit <- ugarchfit(spec = spec, data = as.matrix(temp$y),solver =
"hybrid")
return(fit using fit$robust.matcoef)}
model_maker(var1)
model_maker(var2)
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