[R-SIG-Finance] ruGARCH realGARCH: Comparing sigma() with realizedVol input
alexios ghalanos
alexios at 4dscape.com
Mon Feb 17 14:13:46 CET 2014
Duco,
Try the harModel in the highfrequency package and compare with the
realGARCH. If you email me off-list the data I can investigate if
something is amiss.
Best,
Alexios
On 17/02/2014 12:51, Duco van Rossem wrote:
> Hi Alexios,
>
> Thanks for the fast reply, to answer your questions:
>
> Did you first try a (1,1)-Normal model? Yes- I did try simpler models
> and its the same story. I also used the data you use on your blog
> (spyreal) and found that the fitted and underlying measure are
> 'overlapping'. So in the spyreal data there is no structural difference
> as there is in my data.
>
> Did you expect them to have the same values? I was actually not sure
> whether to expect fitted sigma and realizedVol measure to have the same
> value. This was part of my question. But given that you say that
> realGARCH is first and foremost an GARCH model augmented with the
> realized measure, - I guess I should not expect them to have the same
> value. As I understand you now, realGARCH is not a model for the
> realized measure (which is what I was after).
>
> Regards,
> Duco
>
>
>
>> Subject: Re: [R-SIG-Finance] ruGARCH realGARCH: Comparing sigma() with
> realizedVol input
>> From: alexios at 4dscape.com
>> Date: Mon, 17 Feb 2014 10:49:53 +0000
>> CC: alexios at 4dscape.com; r-sig-finance at r-project.org
>> To: ducovrossem at hotmail.com
>>
>> 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]]
>> >
>> > _______________________________________________
>> > R-SIG-Finance at r-project.org mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> > -- Subscriber-posting only. If you want to post, subscribe first.
>> > -- Also note that this is not the r-help list where general R
> questions should go.
>> >
>>
More information about the R-SIG-Finance
mailing list