[R-SIG-Finance] External regressors in rugarch filter / predefine residuals in fit

[alexios ghalanos]

1. Passed in the specification. I think the documentation is pretty
clear on this.

2. Pass your residuals as the data and set the conditional mean equation
to include.mean=FALSE and armaOrder(0,0).

As I have tried to get across numerous times in our off-list
communication, rgarch is not supported and was never released on CRAN.
It was a work in progress and some decisions such as the use of
information available at t<max(a,b) were changed in rugarch.

-Alexios

On 05/11/2013 15:29, Stefan.Jaeschke at rwe.com wrote:
> Hi there,
> 
> 1)      When specifying a model with external regressors in the mean equation and fixing the parameters, how do I pass the matrix of regressors to the rugarch filter method, or is it automatically passed via the specification? (please see excerpt below)
>       ...
>       external <- Data$LogReturnsStocks
>       dim(external) = c(length(external),1)
>       spec = ugarchspec(..., mean.model = list(..., external.regressors = external)...)
>       cf = c(0.5,0.7,...)
>       specf = spec
>       setfixed(specf) <- as.list(cf)
>       filt = ugarchfilter(specf, data = nrenditenWTI[1:(1001+i-1)], n.old = 1001)
>       ...
> 
> 2)      Is there a trick/way using rugarch to artificially set the first a standardized residuals of an ARMA(a,b) specification to zero as in the previous rgarch, i.e. reconstruct the rgarch package?  This would hopefully allow to get approximately the same filtering as before (please see excerpt below)
> 
>    rgarch:
> 
>    library(rgarch)
>    data(sp500ret)
>    spec = arfimaspec(mean.model = list(armaOrder = c(7,1), include.mean = FALSE, arfima = FALSE)
>    fit = arfimafit(spec, sp500ret)
> 
>> residuals(fit)[1:8]
> [1] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.006930002
> 
> The same in rugarch:
> 
>> residuals(fit)[1:8]
> [1]  0.008840447 -0.001892734  0.003129678 -0.004577455 -0.005742768  0.014603325  0.001059376  0.005992187
> 
> Many thanks in advance.
> 
> Mit freundlichen Grüßen / Kind regards
> 
> Stefan Jäschke
> RWE Supply & Trading GmbH
> Risk Origination & Industrial Sales (MFM-R)
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> 45141 Essen
> Germany
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