[R-SIG-Finance] RUGARCH ugarchfilter

stoyan.stoyanov s.n.stoyanov at gmail.com
Thu Jul 26 17:34:46 CEST 2012

Hi all,

A question for Alexios or someone else who has some experience with rugarch.
I am having a hard time understanding the functionality of the ugarchfilter
class in the rugarch package. My understanding is that you should be able to
use it to apply the estimated coefficients of an old fit to a dataset
including new points (fixing the already estimated parameters and only
adding the effect of the new data points to arrive at updated parameter
estimates). I am not entirely sure that this is correct. 

Either way, the new resulting object produces a list of coefficients (among
other things) which are different from the fit coefficients. If i am
correct, these are the coefficients I want to be using for forecasting when
I have added a single data point to my series and I am looking for speed.
However, the ugarchforecast and ugarchboot functions can only be applied to
ugarchspec and ugarchfit classes.
Does that mean that in order to forecast, I need to transform my filter
object into a spec object and then into a fit object (through using the
fixed.pars method in ugarchspec)?
I get the feeling that this is a bit complicated to be true, so I am
probably misunderstanding the functionality intended for the filter
Also, any additional clarification on the n.old method would be appreciated
- I am having a hard time interpreting the explanation in the package
documentation (which might be owed to my faulty interpretation of the
object's functionality).

Thanks in advance.


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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