[R-SIG-Finance] assistance please
Baranzan Alhamdu Vayin
BAVayin at uclan.ac.uk
Thu Feb 9 07:30:36 CET 2012
Download data for the same period for FTSE all shares (^FTAS) as well as the
gilts index BG06.L. Using the last two as proxies for the overall market return and the riskfree
return, calculate the appropriate continuously compounded (logarithmic) returns.
1. Provide the appropriate time series regression tests for the CAPM.
2. Estimate the Single Index model for your stock and discuss the differences to the CAPM
estimates.
3. Provide a rolling analysis of the time series CAPM regression. Select appropriate window
and briefly justify your choice. Draw appropriate conclusions from your analysis. pls, could you help me with some clue on how to go about this work. thanks for your anticipated response
________________________________________
From: r-sig-finance-bounces at r-project.org [r-sig-finance-bounces at r-project.org] on behalf of r-sig-finance-request at r-project.org [r-sig-finance-request at r-project.org]
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Subject: R-SIG-Finance Digest, Vol 93, Issue 6
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Today's Topics:
1. Volatility forecast (Papa Senyo)
2. Re: Volatility forecast (alexios)
3. Re: Volatility forecast (Papa Senyo)
4. Re: Volatility forecast (alexios)
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Message: 1
Date: Mon, 6 Feb 2012 12:42:09 +0000 (GMT)
From: Papa Senyo <papa.senyo at yahoo.it>
To: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Subject: [R-SIG-Finance] Volatility forecast
Message-ID:
<1328532129.67245.YahooMailNeo at web132301.mail.ird.yahoo.com>
Content-Type: text/plain
Dear ALL,
Please, how does one get volatility forecast using rugarch package?
kind regards
Papa
[[alternative HTML version deleted]]
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Message: 2
Date: Mon, 06 Feb 2012 12:45:03 +0000
From: alexios <alexios at 4dscape.com>
To: Papa Senyo <papa.senyo at yahoo.it>
Cc: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Subject: Re: [R-SIG-Finance] Volatility forecast
Message-ID: <4F2FCB4F.4090202 at 4dscape.com>
Content-Type: text/plain; charset=ISO-8859-1; format=flowed
By reading the documentation.
Alexios
On 06/02/2012 12:42, Papa Senyo wrote:
> Dear ALL,
> Please, how does one get volatility forecast using rugarch package?
> kind regards
> Papa
> [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org 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.
>
------------------------------
Message: 3
Date: Mon, 6 Feb 2012 13:35:14 +0000 (GMT)
From: Papa Senyo <papa.senyo at yahoo.it>
To: alexios <alexios at 4dscape.com>
Cc: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Subject: Re: [R-SIG-Finance] Volatility forecast
Message-ID:
<1328535314.32659.YahooMailNeo at web132303.mail.ird.yahoo.com>
Content-Type: text/plain
Please, keep in mind that I have cannot do anything without the documentation. It is a nice package and trying to know the nitty gritty ?of it. There is a forecast for GARCH model and also the report on the loss functions. What i really want to understand is if the loss function are calculated based on the volatility or the mean returns.
kind regards,
papa
________________________________
Da: alexios <alexios at 4dscape.com>
Cc: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Inviato: Luned? 6 Febbraio 2012 13:45
Oggetto: Re: [R-SIG-Finance] Volatility forecast
By reading the documentation.
Alexios
On 06/02/2012 12:42, Papa Senyo wrote:
> Dear ALL,
> Please, how does one get volatility forecast using rugarch package?
> kind regards
> Papa
> ??? [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org 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.
>
[[alternative HTML version deleted]]
------------------------------
Message: 4
Date: Mon, 06 Feb 2012 13:50:28 +0000
From: alexios <alexios at 4dscape.com>
To: Papa Senyo <papa.senyo at yahoo.it>
Cc: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Subject: Re: [R-SIG-Finance] Volatility forecast
Message-ID: <4F2FDAA4.7060204 at 4dscape.com>
Content-Type: text/plain
But that is not what you asked in your original email!
The 'fpm' method (I assume this is what you refer to as 'report')
returns some summary
forecast performance measures on the fitted return series AND assuming
you have used
the out.sample option in the fit routine (the 'fpm' requires at least 6
out.sample points to
compute the statistics). Because forecasts can be a combination of both
rolling and unconditional
type, the extractor methods (as.array, as.data.frame etc) have a host of
options to indicate
what exactly you want to extract from the object. If you go through the
tests in the 'inst' folder
of the source package, you will see many examples of how this works.
Finally, it would not be possible to return such measures on the
volatility as that is not observed (although
you could very roughly proxy it with abs or squared returns...).
However, if you have your own realized volatility series then surely it
is quite simple to compute
those yourself.
Alexios
On 06/02/12 13:35, Papa Senyo wrote:
> Please, keep in mind that I have cannot do anything without the
> documentation. It is a nice package and trying to know the nitty
> gritty of it. There is a forecast for GARCH model and also the report
> on the loss functions. What i really want to understand is if the loss
> function are calculated based on the volatility or the mean returns.
> kind regards,
> papa
>
> ------------------------------------------------------------------------
> *Da:* alexios <alexios at 4dscape.com>
> *A:* Papa Senyo <papa.senyo at yahoo.it>
> *Cc:* "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
> *Inviato:* Luned? 6 Febbraio 2012 13:45
> *Oggetto:* Re: [R-SIG-Finance] Volatility forecast
>
> By reading the documentation.
> Alexios
>
> On 06/02/2012 12:42, Papa Senyo wrote:
> > Dear ALL,
> > Please, how does one get volatility forecast using rugarch package?
> > kind regards
> > Papa
> > [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > R-SIG-Finance at r-project.org <mailto:R-SIG-Finance at r-project.org>
> 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.
> >
>
>
>
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