[R-SIG-Finance] p-values of garch models
Matthieu Stigler
matthieu.stigler at gmail.com
Tue Apr 13 09:23:22 CEST 2010
#see the structure:
str(summary(garch.fit))
#this is what you want, right?
summary(garch.fit)$coef[,4]
Konrad Hoppe a écrit :
> okay, I see the problem...I'm absolutely new to garch modelling and hence I didn't know that there are some many different functions. I've just thought that one of you already now my problem and there is a simple solution, anyway.
> Now I've produced a code example:
>
> #########################
> install.packages("tseries")
> library(tseries)
>
> data <- vector(length=1000)
> data[1] <- 0
> set.seed(123)
>
> for(i in 2:1000){
> data[i] <- 0.5*data[i-1] + rnorm(1)
> }
>
> garch.fit <- garch(data,order=c(1,1), trace=F)
> summary(garch.fit)
> ########################
>
> maybe you know another garch function where it's easier to get the p-values..
> hope you can help me
>
> all the best,
> konrad
>
>
>
>> Date: Mon, 12 Apr 2010 15:55:20 -0500
>> From: brian at braverock.com
>> To: konradhoppe at hotmail.de
>> CC: r-sig-finance at stat.math.ethz.ch
>> Subject: Re: [R-SIG-Finance] p-values of garch models
>>
>> On 04/12/2010 03:38 PM, Konrad Hoppe wrote:
>>
>>> Hi,
>>>
>>> the Ljung Box statistic is valid for differrent models in my case and I want
>>> to distinguish automatically between those different models. My problem is,
>>> that it turns out, that there is more than one model with valid box
>>> statistic, but only one has a residual series which looks like white noise,
>>> and this model has only significant parameters, while the others have some
>>> non-significant params. Hence I need to get these p-values from the model
>>> and I think that there must be possibility since the p-values are
>>> calculated, but I'm just unable to get them...
>>> Any ideas to solve that problem?
>>>
>>>
>> Konrad,
>>
>> Please provide a reproducible code example.
>>
>> Use one of the example data sets for whatever GARCH package you are
>> using, and tell us what package that is, and comment your example so we
>> can tell what you're doing.
>>
>> You haven't given us enough information to say where you'll find the
>> p-values, since among other things you haven't even told us which of the
>> many GARCH functions within R you're using.
>>
>> - Brian
>>
>> --
>> Brian G. Peterson
>> http://braverock.com/brian/
>> Ph: 773-459-4973
>> IM: bgpbraverock
>>
>>
>>
>
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