[R-SIG-Finance] rugarch and missing data

[alexios]

Hi Ted,

1. rugarch does not handle missing values.
2. you should pass tick/intraday data as unnamed numeric (rugarch does 
not specifically handle intraday formatted data, so unnamed numeric is 
the the best option).
3. rmgarch is available from r-forge under the rgarch project.
and can be installed by stating that in the 'repos' argument of the
install.packages i.e.
install.packages("rmgarch",repos="http://r-forge.r-project.org")
You'll need to manually install some of the required dependencies.

Regards,
Alexios


On 26/01/2012 18:32, Ted Byers wrote:
> Hi all,
>
>
>
> I seek enlightenment.
>
>
>
> I am beginning to study rugarch, to get a better sense of what it can do.
>
>
>
> The data I am tying first is tick data for futures contracts, but I suppose
> any tick data will have similar issues.
>
>
>
> Here is how I am setting up my data:
>
>
>
> x = read.table("quotes_M11.dat", header = FALSE, sep="\t", skip=0)
>
> dt<-sprintf("%s %04d",x$V2,x$V4)
>
> dt<-as.POSIXlt(dt,format="%Y-%m-%d %H%M")
>
> y<- data.frame(dt,x$V5)
>
> colnames(y)<- c("tickdate","price")
>
> z<- xts(y[,2],y[,1])
>
> alpha<- to.minutes(z, OHLC=TRUE)
>
> colnames(alpha)<- c("Open","High","Low","Close")
>
>
>
> So, x has the raw tick data.  NB: I can get the same data, with the same
> structure, using SQL from my DB, but didn't want to complicate things.  This
> data file has but a small subsample of all the data I can work with.
>
>
>
> dt gets the date and time data into a single field, as a datetime object
> that to.minutes will accept.
>
>
>
> y gets a data.frame in which the first column is the datetime and the second
> is the price, and z gets an xts object from that.
>
>
>
>
>
> Finally, alpha gets one minute  OHLC data.  Not surprisingly, alpha does not
> have values for every minute of every day for which there is data in
> quotes_M11.dat
>
>
>
> I use alpha successfully for an analysis I do using rollapply.  That works
> great, and it doesn't seem to care that there are minutes without values.
> (I don't know that package well enough to know why, so a little
> enlightenment would be great).
>
>
>
> The problem I have is this.
>
>
>
> spec = ugarchspec(variance.model = list(model = "eGARCH", garchOrder = c(1,
> 1)), mean.model = list(armaOrder = c(1, 1), arfima = FALSE),
> distribution.model = "std")
>
> fit = ugarchfit(spec = spec, data = alpha$Close, out.sample = 0, solver =
> "solnp", solver.control = list(trace = 0))
>
> Error in if (all(dte[, i]<= 12)) m = i :
>
>    missing value where TRUE/FALSE needed
>
> In addition: There were 50 or more warnings (use warnings() to see the first
> 50)
>
>
>
> My reaction to this is, well of course there's missing values.  The warnings
> are about NAs being produced (In FUN(newX[, i], ...) : NAs introduced by
> coercion).
>
>
>
> So, I understand the error message and why it happens.  The question is,
> "What can I do about it?"
>
>
>
> Are any of the steps I show in my data manipulation unnecessary?  (I expect
> that they can be condensed into fewer statements, but I like to see
> precisely what each step does before I condense the code.)
>
>
>
> Is there another step in my data manipulation that I need to add?
>
>
>
> Can any of the methods in the rugarch handle raw tick data directly?
>
>
>
> As an aside, I saw mention of rmgarch in the documentation, but when I
> select "Install packages" from the Packages submenu, I do not see it listed.
> Is it not yet available?  If so, is rgarch the principle alternative for
> multivariate analyses (and if so, with what caveats)?
>
>
>
> Any enlightenment beyond what I found in the manual would be greatly
> appreciated.
>
>
>
> Thanks
>
>
>
> Ted
>
>
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>
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