[R-SIG-Finance] R-SIG-Finance Digest, Vol 75, Issue 24, FI-GARCH Model in R ?
Eugenio De Maio
e.demaio2 at virgilio.it
Tue Aug 31 14:58:42 CEST 2010
How to estimate a Fi-GARCH model in R?
thanks a lot
----- Original Message -----
From: <r-sig-finance-request at stat.math.ethz.ch>
To: <r-sig-finance at stat.math.ethz.ch>
Sent: Monday, August 30, 2010 12:00 PM
Subject: R-SIG-Finance Digest, Vol 75, Issue 24
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> Today's Topics:
>
> 1. Market index data visualization in R (Nadeem Faiz)
> 2. Re: Market index data visualization in R (Ulrich Staudinger)
> 3. PerformanceAnalytics: functions don't work after updating the
> package (Alex Pramov)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Sun, 29 Aug 2010 09:23:54 -0700 (PDT)
> From: Nadeem Faiz <nadeem_faiz at yahoo.com>
> To: r-sig-finance at stat.math.ethz.ch
> Subject: [R-SIG-Finance] Market index data visualization in R
> Message-ID: <263101.4339.qm at web84207.mail.re3.yahoo.com>
> Content-Type: text/plain
>
> Hello
> I have been learning R for the past year for use at work. To keep the
> learning going I started plotting the change in the major market indices
> (S&P, Dow, NIKKEI, etc) using a variety of graphs such as heat maps, run
> charts and radial plots. I was primarily interested if return on any
> given date was in the outliers of historical returns, and to present this
> information in a simple graphical way using the principles of Tufte and
> Harrell.
> I present these to you and invite your comments. The website is named
> "Stock Market Index Visualizations using R" and is located at
> http://sites.google.com/site/indexplot Index data can be accessed using
> the left sidebar.
> Please feel free to share your comments. All R source code is available
> upon request. I use the quantmod library to pull data from Yahoo finance
> and am using the 2.10.1 R distribution to create all graphs.
> I am plotting the history of the market return in percentiles, and
> annualized returns in deciles (using quantile function). There are two
> help files on the website that describe in detail all the calculations
> done in R. I am using simple math like ratios and basic stats
> (quantiles), basic geometry and trigonometry for the graph
> transformations. I hope to but am not too sure if I achieved the graph
> clarity I wanted.
> AcknowledgementsI have listed the R community in my acknowledgements page,
> to Dirk Eddelbuettel and to Jeffrey Ryan (for quantmod). Special thanks
> to Dirk for his interest in my poster at UseR2010 and his encouragement to
> create this page. It has been a lot of fun, in learning the using the
> google website tools.
> Next steps- Update graphs and analysis based on your comments.- plot the
> historical returns for a portfolio, something like a 50:50 stock:bond
> portfolio. - learn RApache- plead to Google sites to allow ftp...
> best regardsNadeemHockessin, DE
> [[alternative HTML version deleted]]
>
>
>
> ------------------------------
>
> Message: 2
> Date: Mon, 30 Aug 2010 09:39:51 +0200
> From: Ulrich Staudinger <ustaudinger at gmail.com>
> To: Nadeem Faiz <nadeem_faiz at yahoo.com>
> Cc: r-sig-finance at stat.math.ethz.ch
> Subject: Re: [R-SIG-Finance] Market index data visualization in R
> Message-ID:
> <AANLkTikJjQawcAuAu_Or4kcirMdVi5G+9we6t=ZM1D+d at mail.gmail.com>
> Content-Type: text/plain
>
> Nadeem,
>
> your efforts in honour, but I strongly doubt that it's legal to
> redistribute
> the yahoo data, whether with or without acknowledgment, but that's just my
> good guess, especially as there is a revenue generator on your site.
> Any opinion on that, does yahoo allow this sort of data redistribution?
>
> Best regards,
> Ulrich
>
>
>
> On Sun, Aug 29, 2010 at 6:23 PM, Nadeem Faiz <nadeem_faiz at yahoo.com>
> wrote:
>
>> Hello
>> I have been learning R for the past year for use at work. To keep the
>> learning going I started plotting the change in the major market indices
>> (S&P, Dow, NIKKEI, etc) using a variety of graphs such as heat maps, run
>> charts and radial plots. I was primarily interested if return on any
>> given
>> date was in the outliers of historical returns, and to present this
>> information in a simple graphical way using the principles of Tufte and
>> Harrell.
>> I present these to you and invite your comments. The website is
>> named "Stock Market Index Visualizations using R" and is located at
>> http://sites.google.com/site/indexplot Index data can be accessed using
>> the left sidebar.
>> Please feel free to share your comments. All R source code is available
>> upon request. I use the quantmod library to pull data from Yahoo finance
>> and am using the 2.10.1 R distribution to create all graphs.
>> I am plotting the history of the market return in percentiles, and
>> annualized returns in deciles (using quantile function). There are two
>> help
>> files on the website that describe in detail all the calculations done in
>> R.
>> I am using simple math like ratios and basic stats (quantiles), basic
>> geometry and trigonometry for the graph transformations. I hope to but
>> am not too sure if I achieved the graph clarity I wanted.
>> AcknowledgementsI have listed the R community in my acknowledgements
>> page,
>> to Dirk Eddelbuettel and to Jeffrey Ryan (for quantmod). Special thanks
>> to
>> Dirk for his interest in my poster at UseR2010 and his encouragement to
>> create this page. It has been a lot of fun, in learning the using the
>> google website tools.
>> Next steps- Update graphs and analysis based on your comments.- plot the
>> historical returns for a portfolio, something like a 50:50 stock:bond
>> portfolio. - learn RApache- plead to Google sites to allow ftp...
>> best regardsNadeemHockessin, DE
>> [[alternative HTML version deleted]]
>>
>>
>> _______________________________________________
>> R-SIG-Finance at stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>
>
>
>
> --
> Ulrich Staudinger
> Klosterstr. 7
> CH-6003 Luzern
> Switzerland
> ++41-79-7020595
>
> [[alternative HTML version deleted]]
>
>
>
> ------------------------------
>
> Message: 3
> Date: Mon, 30 Aug 2010 11:15:43 +0200
> From: Alex Pramov <alexpramov at gmail.com>
> To: r-sig-finance at stat.math.ethz.ch
> Subject: [R-SIG-Finance] PerformanceAnalytics: functions don't work
> after updating the package
> Message-ID: <4C7B76BF.6050204 at googlemail.com>
> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>
> Hi List,
>
> I have the following problem with Performance Analytics:
>
> In the last month I wrote code for a term paper, which used a lot of the
> functions in the package. Back then I used R 2.10.1 and the previous
> version of Performance Analytics ( I guess it was the previous version,
> as I've installed it for the first time in July). Everything worked fine.
>
> Now I've updated my R and the package to the latest versions, and all
> the functions which need a benchmark won't work. I keep getting:
>
> Fehler in Ra.excess[, column.a, drop = FALSE] :
> falsche Anzahl von Dimensionen
>
> where falsche Anzahl von Dimensionen = wrong number of dimensions.
>
> I tried using timeSeries or zoo instead of xts but I keep getting the
> same problem. I changed the original data class from POSIXct to Date -
> that didn't work either. I tried with drop = FALSE, tried indexing the
> data as shown in this example from the package documentation:
>
> table.HigherMoments(managers[,1:3],managers[,8,drop=FALSE])
>
> but nothing helps.
>
> Here is the structure of my data and the function I'm trying to use:
>
> > str(returns.xts)
> An 'xts' object from 2009-11-18 to 2010-06-30 containing:
> Data: num [1:154, 1:6] -0.00182 -0.00293 -0.00147 0.00403 -0.00476 ...
> - attr(*, "dimnames")=List of 2
> ..$ : NULL
> ..$ : chr [1:6] "QAI" "MCRO" "ALT" "GRES" ...
> Indexed by objects of class: [Date] TZ:
> Original class: 'double'
> xts Attributes:
> NULL
> >
>
> An 'xts' object from 2009-11-18 to 2010-06-30 containing:
> Data: num [1:154, 1] -0.0009 -0.0141 -0.004 0.013 -0.0013 0.0058
> -0.0185 0.0039 0.014 0.0023 ...
> - attr(*, "dimnames")=List of 2
> ..$ : NULL
> ..$ : chr "Market.Return"
> Indexed by objects of class: [Date] TZ:
> Original class: 'data.frame'
> xts Attributes:
> NULL
>
> --------------------------------------------------------------------------------------
> table.HigherMoments(returns.xts,returns.market, Rf = 0)
> --------------------------------------------------------------------------------------
>
> What puzzles me is that the code worked perfectly fine before. I've
> looked in the change log but didnt find anything which can help me.
> Also, functions which don't need a benchmark work perfectly fine - f.ex
> table.Autocorrelation(returns.xts) has no problems.
>
> Best Regards,
>
> Alex
>
>
>
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> End of R-SIG-Finance Digest, Vol 75, Issue 24
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