[R-SIG-Finance] RUGARCH eGARCH and variance targeting

[alexios ghalanos]

Stoyan,

On looking more closely at the variance targeting (VT) for eGARCH models 
it is quite problematic. VT-Omega is theoretically supposed to be the 
log(mean(residuals^2)) but this does not work at all well in the 
optimization problem and instead I have simply used the 
mean(residuals^2). Because the uncvariance for eGARCH returns the 
exp(...), the value you get when using VT is wrong. The quick fix is to 
take the log(...) of what is returned (only when using VT...correct in 
all other cases). It is not likely that I will release a fix for this 
anytime soon so you should apply this manual 'fix' else do not use 
variance targeting with eGARCH. Suggestions welcome.

As for the plot, please take the time to look at the underlying code and 
figure out for yourself what it is you need. It is after all open source.

-Alexios

PS There is no 'realized vol' simply filtered vol based on out-of-sample 
data and the model.

On 29/06/2012 18:45, stoyan.stoyanov wrote:
> Thank you, Alexios.
> I will wait for the revision then. Also, a bit off-topic, but it's not
> really worth a separate thread:
> There is a "filtered" series that can be included in the Sigma Standard
> Error Plots generated by ugarchboot (the green line). My understanding is
> that this is simply the realized volatility of the out-of-sample
> observations. I am curious how I can get the filtered series values
> generating the plot. I assumed it would be simply the standard deviation of
> returns but my numbers seem different from what is being graphed. Could you
> please confirm that I am reading the series correctly and advise me on how
> to get the values?
>
> Thanks,
> Stoyan
>
> PS Noted about attaching sample data.
>
> -----
> Stoyan Stoyanov
> The University of Chicago Booth School of Business
> MBA Class of 2013
> (312) 532-0120 | stoyanov at chicagobooth.edu
> --
> View this message in context: http://r.789695.n4.nabble.com/RUGARCH-eGARCH-and-variance-targeting-tp4634896p4634911.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
> _______________________________________________
> 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.
>