[R-SIG-Finance] why my rugarch ugarchfit function is slow ?

ce zadig_1 at excite.com
Thu Jul 4 22:26:24 CEST 2013


cran rugarch version is 1.2.2. Indeed installing 1.2-6 from google solved the problem . now sp500ret completes in 15 sec. 
still not as good as your Intel core 2.  I am  disappointed with my Sony vaio i3 opensuse performance. but it's not your problem.
Thanks  a lot for your help.
ce


-----Original Message-----
From: "alexios ghalanos" [alexios at 4dscape.com]
Date: 07/04/2013 04:23 AM
To: "ce" <zadig_1 at excite.com>
CC: "" <alexios at 4dscape.com>, "" <r-sig-finance at r-project.org>
Subject: Re: [R-SIG-Finance] why my rugarch ugarchfit function is slow ?

Hi,

I took out an old laptop from storage runnnig Mint x46 on an Intel Core 
2 (older than the 'i's) and was able to reproduce the problem with
rugarch 1.2-5. However, on updating to the newest release on google code 
(1.2-6) I got:

spec = ugarchspec(variance.model = list(model = 'fGARCH',submodel = 
'NAGARCH', garchOrder = c(2, 1)), distribution = 'sstd')
system.time(ugarchfit(spec, sp500ret, solver = 'hybrid'))
  user  system elapsed
  11.412   0.052  11.470

This is "likely" related to a reversal of a change made in a previous 
version for vectorizing distributions (and affecting among other things 
the stationarity constraint, but not the likelihood
evaluation as this is in any case evaluated in C). Make sure you get the 
newest version from its google code repository and that you are in fact 
installing it.

Regards,

Alexios

On 07/04/2013 10:22 AM, ce wrote:
> Hi Alexios,
>
> Thanks for the advise, I was just testing different options and wasting my CPU cycles.
> Re-installing R and rugarch didn't help.
> You should have a super computer I guess, I did the same test on a dell laptop i5 cpu 64 bit windows 7, 4GB memory,  results are :
>> library("rugarch")
> Loading required package: Rcpp
> Loading required package: RcppArmadillo
> Package Rsolnp (1.14) loaded.  To cite, see citation("Rsolnp")
>
> KernSmooth 2.23 loaded
> Copyright M. P. Wand 1997-2009
>
>> data(sp500ret)
>> spec = ugarchspec(variance.model = list(model = 'fGARCH',submodel = 'NAGARCH', garchOrder = c(2, 1)), distribution = 'sstd')
>>   system.time(ugarchfit(spec, sp500ret, solver = 'hybrid'))
>     user  system elapsed
>    78.45    0.08   79.30
>
>> mydata = c(0.082642875,-0.854761542,-0.077033376,0.406766344,-0.158930181,0.221923295,0.142042082,0.197391055,-0.109232737,-0.139228622,-0.121972401,-0.153521155,-0.046589943,-0.145470513,0.219578485,0.043333125,-0.034798222,-0.162685582,-0.053049221,0.207199901,-0.224930862,0.022989518,-0.028370697,0.010733556,0.065427805,-0.065427805,-0.355150941,-0.065554265,0.239806124,-0.054778206,0.203124684,-0.035550984,0.090971778,-0.033601747,0.066111025,0.029852963,0.030573580,-0.060426543,-0.160342650,0.170392986,0.000000000,-0.133531393,0.011363759,0.345311185,-0.057629113,0.083946421,0.165954579,0.038839833,-0.078104552,-0.088468648,0.117783036,0.074901308,0.002059733,0.066658187,0.038702329,0.211970251,0.016345089,-0.076548451,-0.367989997,-0.067762102,-0.016119382,0.148420005,-0.154689618,-0.213753811,-0.117199094,0.019081238,-0.097374164,0.255933374,0.353296810,0.132887519,-0.044246849,0.098646225,0.067682591,-0.066828985,0.241405811,0.032962773,0.067695013,0.050232125,0.092949523,-0.284186788,0.024811748,0.020883211,-0.112795494,0.317639288,0.072787942,0.113058086,0.120935481,0.017040238,-0.011857846,-0.027410019,-0.211765940,-0.054488185,-0.268140917,0.034273403,-0.098347132,0.040078224,-0.010772097,0.000000000,0.000000000,0.000000000,0.000000000,0.537189816)
>>
>> system.time(ugarchfit(spec, mydata, solver = 'hybrid'))
>     user  system elapsed
>   218.46    0.18  233.61
>
>
> -----Original Message-----
> From: "alexios ghalanos" [alexios at 4dscape.com]
> Date: 07/02/2013 05:37 PM
> To: "ce" <zadig_1 at excite.com>
> CC: "" <r-sig-finance at r-project.org>
> Subject: Re: [R-SIG-Finance] why my rugarch ugarchfit function is slow ?
>
> No idea.
>
> I get:
>
> system.time(ugarchfit(spec, sp500ret,  solver = 'hybrid'))
> user  system elapsed
> 9.66    0.01    9.67
>
> system.time(ugarchfit(spec, mydata,  solver = 'hybrid'))
> user  system elapsed
> 5.74    0.00    5.73
>
> Make sure you've updated all packages used (rugarch from the google
> repository).
>
> You have also chosen to ignore numerous warnings in previous posts to
> this forum about using such a small amount of data, and have in addition
> gone and added a nonlinear GARCH(2,1) model with the sstd distribution.
> I hope you are not using the results for anything other
> than filling up empty space on your hard disk.
>
> -Alexios
>
> On 02/07/2013 21:44, ce wrote:
>> Hi,
>>
>> I use R 3.0.1, opensuse 12.3 on a sony vaio i3 cpu.  When I use sp500ret data (5523 values) coming from rugarch package, ugarchfit performance is acceptable, but my data has only 102 values, why it takes much longer?
>>
>>> R
>> R version 3.0.1 (2013-05-16) -- "Good Sport"
>> Copyright (C) 2013 The R Foundation for Statistical Computing
>> Platform: x86_64-unknown-linux-gnu (64-bit)
>>
>>> library("rugarch")
>> Loading required package: Rcpp
>> Loading required package: RcppArmadillo
>> Package Rsolnp (1.14) loaded.  To cite, see citation("Rsolnp")
>>
>> KernSmooth 2.23 loaded
>> Copyright M. P. Wand 1997-2009
>>
>>> data(sp500ret)
>>> dim(sp500ret)
>> [1] 5523    1
>>
>>> spec = ugarchspec(variance.model = list(model = 'fGARCH',submodel = 'NAGARCH', garchOrder = c(2, 1)), distribution = 'sstd')
>>> system.time(ugarchfit(spec, sp500ret,  solver = 'hybrid'))
>>      user  system elapsed
>> 141.562   0.136 142.448
>>
>>> mydata = c(0.082642875,-0.854761542,-0.077033376,0.406766344,-0.158930181,0.221923295,0.142042082,0.197391055,-0.109232737,-0.139228622,-0.121972401,-0.153521155,-0.046589943,-0.145470513,0.219578485,0.043333125,-0.034798222,-0.162685582,-0.053049221,0.207199901,-0.224930862,0.022989518,-0.028370697,0.010733556,0.065427805,-0.065427805,-0.355150941,-0.065554265,0.239806124,-0.054778206,0.203124684,-0.035550984,0.090971778,-0.033601747,0.066111025,0.029852963,0.030573580,-0.060426543,-0.160342650,0.170392986,0.000000000,-0.133531393,0.011363759,0.345311185,-0.057629113,0.083946421,0.165954579,0.038839833,-0.078104552,-0.088468648,0.117783036,0.074901308,0.002059733,0.066658187,0.038702329,0.211970251,0.016345089,-0.076548451,-0.367989997,-0.067762102,-0.016119382,0.148420005,-0.154689618,-0.213753811,-0.117199094,0.019081238,-0.097374164,0.255933374,0.353296810,0.132887519,-0.044246849,0.098646225,0.067682591,-0.066828985,0.241405811,0.032962773,0.067695013,0.050232125,0.09!
>>    2949523,-0.284186788,0.024811748,0.020883211,-0.112795494,0.317639288,0.072787942,0.113058086,0.120935481,0.017040238,-0.011857846,-0.027410019,-0.211765940,-0.054488185,-0.268140917,0.034273403,-0.098347132,0.040078224,-0.010772097,0.000000000,0.000000000,0.000000000,0.000000000,0.537189816)
>>
>>> system.time(ugarchfit(spec, mydata,  solver = 'hybrid'))
>>      user  system elapsed
>> 367.052   0.298 369.194
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