[R-SIG-Finance] NAs for GARCH
elton wang
ahala2000 at yahoo.com
Tue Mar 13 13:42:27 CET 2007
This data set below is just missing weekends. On
businessday basis, they are actually continous. So
there is no point to go for irregular time frame
GARCH.
irregular time frame will only be useful if there are
missing data, but from your data below, it looks to me
there are no missing data, there are no data at all on
those dates, this is a big difference.
--- Rich Ghazarian <rich7804 at yahoo.com> wrote:
> Here is what my data looks like, after I try to
> remove the NAs, but I still get an error message for
> GARCH, any suggestion as to how I can index this.
> The data is irregular daily returns, and I would
> like to fit a GARCH type model, but I am not sure
> how to apply zooreg or ts
>
> The raw data in CSV format
>
>
>
>
> 2/5/2001
> 0.29
>
>
> 2/6/2001
> 0.35
>
>
> 2/7/2001
> 0.31
>
>
> 2/8/2001
> 0.26
>
>
> 2/9/2001
> 0.26
>
>
> 2/12/2001
> 0.36
>
>
> 2/13/2001
> 0.43
>
>
> 2/14/2001
> 0.47
>
>
> 2/15/2001
> 0.34
>
> z1 <- read.zoo("pp.csv", sep = " ", format =
> "%m/%d/%y")
>
> and apply
>
> > na.locf(z1)
>
> Time Series:
>
> Start = 11358
>
> End = 13426
>
> Frequency = 1
>
> [1] 0.291 0.354
> 0.310 0.262 0.261 0.261 0.261 0.355
> 0.427 0.473 0.340
>
> [12] 0.158 0.158
> 0.158 0.158 0.021 0.032 -0.103 -0.103 -0.103
> -0.103
> -0.103
>
> [23] -0.208 -0.165 0.021
> -0.078 -0.078 -0.078 -0.035 -0.020 0.065 0.065
> -0.022
>
> [34] -0.022 -0.022 -0.024 -0.127
> -0.127 0.000 0.152 0.152 0.152 0.464 0.392
>
> [45] 0.237 0.178
> 0.069 0.069 0.069 -0.053 0.041 0.099 0.111
> 0.157 0.157
>
> [56] 0.157 0.390
> 0.397 0.172 0.179 0.068 0.068 0.068
> 0.151 0.318 0.396
>
> [67] 0.452 0.452
> 0.452 0.452 0.307 0.157 0.102 -0.120 -0.074
> -0.074 -0.074
>
> [78] 0.069 0.028
> 0.043 0.206 0.199 0.199 0.199 0.141
> 0.066 0.085 -0.028
>
> [89] -0.053 -0.053 -0.053 0.068
> 0.094 0.130 0.084 -0.050 -0.050 -0.050 -0.129
>
> <!--
> D(["mb"," [100] -0.147 -0.113 0.087\n 0.050 0.050
> 0.050 0.120 0.104 0.104\n-0.051
>
-0.148\u003c/font\>\n\u003cbr\>\n\u003cbr\>\u003cfont
> size\u003d\"2\" face\u003d\"sans-serif\"\>>
> garch(z1, order \u003d c(1, 1), coef\n\u003d NULL,
> itmax \u003d 200, eps \u003d NULL,grad \u003d
>
c("analytical","numerical"),\nseries
> \u003d NULL, trace \u003d
> TRUE)\u003c/font\>\n\u003cbr\>\u003cfont
> size\u003d\"2\" face\u003d\"sans-serif\"\>Error in
> garch(z1, order \u003d c(1, 1),\ncoef \u003d NULL,
> itmax \u003d 200, eps \u003d NULL, :
> \u003c/font\>\n\u003cbr\>\u003cfont size\u003d\"2\"
> face\u003d\"sans-serif\"\> NAs in
> x\u003c/font\>\n\u003cbr\>\n--\u003d_alternative
> 007F353B8825729C_\u003d--",0]
> );
> D(["ma",[1,"\u003ctable class\u003datt
> cellspacing\u003d0 cellpadding\u003d5
> border\u003d0\>\u003ctr\>\u003ctd
> colspan\u003d2\>\u003cb style\u003dpadding-left:3\>2
> attachments\u003c/b\> — Scanning for
> viruses...\u003ctr\>\u003ctd\>\u003ctable
> cellspacing\u003d0
> cellpadding\u003d0\>\u003ctr\>\u003ctd\>\u003cimg
> width\u003d16 height\u003d16
> src\u003d\"/mail/images/generic.gif\"\>\u003ctd
>
width\u003d7\>\u003ctd\>\u003cb\>gas.csv\u003c/b\>\u003cbr\>30K
> \u003c/table\>\u003ctr\>\u003ctd\>\u003ctable
> cellspacing\u003d0
> cellpadding\u003d0\>\u003ctr\>\u003ctd\>\u003cimg
> width\u003d16 height\u003d16
> src\u003d\"/mail/images/generic.gif\"\>\u003ctd
>
width\u003d7\>\u003ctd\>\u003cb\>pp.csv\u003c/b\>\u003cbr\>23K
> \u003c/table\>\u003c/table\>","1114869f291fd79d"]
> ]
> );
>
> //--> [100] -0.147 -0.113 0.087
> 0.050 0.050 0.050 0.120 0.104 0.104
> -0.051 -0.148
>
>
>
> > garch(z1, order = c(1, 1), coef
> = NULL, itmax = 200, eps = NULL,grad =
> c("analytical","numerical"),
> series = NULL, trace = TRUE)
>
> Error in garch(z1, order = c(1, 1),
> coef = NULL, itmax = 200, eps = NULL, :
>
> NAs in x
>
>
>
>
>
>
> --=_alternative 007F353B8825729C_=--
>
> ----- Original Message ----
> From: "r-sig-finance-request at stat.math.ethz.ch"
> <r-sig-finance-request at stat.math.ethz.ch>
> To: r-sig-finance at stat.math.ethz.ch
> Sent: Monday, March 12, 2007 4:00:05 AM
> Subject: R-SIG-Finance Digest, Vol 34, Issue 7
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> 1. Re: Error in read.zoo (Achim Zeileis)
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>
>
----------------------------------------------------------------------
>
> Message: 1
> Date: Sun, 11 Mar 2007 12:24:26 +0100 (CET)
> From: Achim Zeileis <Achim.Zeileis at wu-wien.ac.at>
> Subject: Re: [R-SIG-Finance] Error in read.zoo
>
> Cc: r-sig-finance at stat.math.ethz.ch
> Message-ID:
> <Pine.LNX.4.64.0703111221430.17202 at eowyn>
> Content-Type: TEXT/PLAIN; charset=US-ASCII;
> format=flowed
>
=== message truncated ===
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