[R-SIG-Finance] rugarch and missing data

[Ted Byers]

Thanks Alexios

It is easy enough to extract a vector of unnamed numeric values.

But that leaves the question, what is the best option for filling in missing
values with some suitable default value (which obviously will have to change
through the day).  

Is there something in a related package that will provide a suitable
interpolation?

Thanks again,

Ted

> -----Original Message-----
> From: alexios [mailto:alexios at 4dscape.com]
> Sent: January-26-12 1:48 PM
> To: Ted Byers
> Cc: r-sig-finance at r-project.org
> Subject: Re: [R-SIG-Finance] rugarch and missing data
> 
> 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
> >
> >
> > 	[[alternative HTML version deleted]]
> >
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