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

alexios ghalanos alexios at 4dscape.com
Mon Jul 2 17:13:03 CEST 2012


Thanks for the bug report. Please be patient and only post in one place 
(the bug report was received but you really shouldn't expect an instant

This bug seems to stem from the c++ code (for n.ahead>100 and m.sim<100 
it uses c code). I'll investigate and issue a fix soon.


On 02/07/2012 15:54, stoyan.stoyanov wrote:
> Thank you Alexios. I may have come across yet another but with the eGARCH
> specification. It is NOT connected with variance targeting. I tried posting
> it on the project's bug forum but it may have not gotten through. Just in
> case:
> I fit an eGARCH model to daily adjusted returns and bootstrap a forecast.
> The forecast looks fine with n.ahead with values of 100 or higher but is
> completely off with lower values of the forecast period (the difference
> between a 99 and a 100-period-ahead forecast is striking). I can't see a
> reason for that other than a bug (correct me if I'm wrong).
> Here is the code:
> spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1),
>                                      submodel=NULL, external.regressors=NULL,
> variance.targeting=FALSE),
>                  mean.model=list(armaOrder=c(2,0), include.mean=TRUE,
> archm=TRUE,
>                                  archpow=1, arfima=FALSE,
> external.regressors=NULL, archex=FALSE),
>                  distribution.model = "std", start.pars=list(),
> fixed.pars=list())
> fit=ugarchfit(spec, data, out.sample=100, solver="solnp",
> solver.control=list(),
>                  fit.control=list(stationarity=1, fixed.se=0, scale=0))
> boot.pred=ugarchboot(fit, data=NULL, method="partial", n.ahead=99,
>                         n.bootfit=100, n.bootpred=500, out.sample=0,
> rseed=NA, solver="solnp",
>                         solver.control=list(), fit.control=list(),
>                         external.forecasts=list(mregfor=NULL, vregfor=NULL),
> parallel=TRUE,
>                         parallel.control=list(pkg="snowfall", cores=2))
> Please let me know if you need a sample of the code or a copy of the
> forecast.
> Thanks,
> Stoyan
> -----
> Stoyan Stoyanov
> The University of Chicago Booth School of Business
> MBA Class of 2013
> (312) 532-0120 | stoyanov at chicagobooth.edu
> --
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