[R-SIG-Finance] ruGARCH realGARCH: Comparing sigma() with realizedVol input
alexios ghalanos
alexios at 4dscape.com
Mon Feb 17 11:49:53 CET 2014
Did you expect them to have the same values? This is first and foremost a GARCH model augmented with the realized measure. Did you read the blog post and vignette first?
Beyond that, it is difficult to comment without looking at your data (reproducible code).
Did you first try a (1,1)-Normal model (to compare the likelihoods in case the model converged to a non-global optimum)?
-Alexios
On 17 Feb 2014, at 10:30, Duco van Rossem <ducovrossem at hotmail.com> wrote:
> Dear list,
> I am trying to compare the fitted sigma of the realGARCH model with my realized volatility input. However these two time series have completely different values. My realizedVol input has a values of around 0.004-0.010, while the fitted sigma output has values of around 0.001-0.003 and I am trying to understand why.
> Below I walk through my code:
> My model specification fitting below, where,return_c2casxts - daily close-to-close return object (an xts object)RVar_BN2008 - Daily realized variance measure (using realized kernel of Bandorff Nielsen 2008)
> spec.realGARCH21 <- ugarchspec(variance.model = list(model = "realGARCH", garchOrder = c(2,1)), mean.model = list(armaOrder = c(1,1)), distribution.model = "std")garch_model<-ugarchfit(spec.realGARCH21, return_c2casxts, solver = 'hybrid', realizedVol=sqrt(RVar_BN2008))
> RVolfitted<-garch_model at fit$sigma
>
> Now comparing RVolfitted and sqrt(RVar_BN2008)below I have completely different values throughput the series (3500 days in total).
> RVolfitted:" 0.0020383691 0.0018783530 0.0020688548 0.0015357892 0.0016052453 0.0016191145sqrt(RVar_BN2008): 0.006596078 0.008683373 0.004344591 0.006393453 0.006223041 0.008463817
> Is this a conceptual issue on my part on what sigma signifies here? How can I obtain fitted values corresponding to the realizedVol input?
> Best Regards,Duco
> [[alternative HTML version deleted]]
>
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