[R-SIG-Finance] How to add lagged values to rugarch-model

[Lasse Thorst]

Thanks!

Quick follow-up.

My knowledge about ARMA-GARCH models is not perfect, but if want a lagged
time series in the model - to work with seasonality - how can I then add
it, if not via the ext.reg?

For example, in STATA I would do something like choosing my "x  AR(24)
AR(48)" for adding the 24th and 48th lag.
I would here like to add the 24th and 48th lag to the mean model in my
ARMA-GARCH model.

Should I look at another package?

2014-11-05 15:28 GMT+01:00 Robert Harlow <rharlow86 at gmail.com>:

> Lasse,
> Your problem is that you have NAs in your external regressor matrix.
> Since you lagged it twice, you have 2 NAs.  Try the code below.
> Thanks for the reproducible example, it made it really easy.
> Bob
>
>
> require(rugarch)
> require(quantmod)
>
> x = runif(n = 1000, min = -5, max = 100)
> ext.reg_lagged = cbind(Lag(x, k = 1), Lag(x, k = 2))
> ext.reg = cbind(x + runif(n = 1000, min = 5, max = 20), x - runif(n = 1000,
> min = 5, max = 15))
>
> *x <- x[-c(1:2)]*
> *ext.reg_lagged = ext.reg_lagged[-c(1:2), ]*
>
> fit.spec <- ugarchspec(variance.model = list(model = "sGARCH",
>                                                  garchOrder = c(1, 1)),
>                        mean.model         = list(armaOrder = c(3, 1),
>                                                  include.mean = TRUE,
>                                                  external.regressors =
>                            ext.reg_lagged), # with ext.reg.lagged it does
> not work.
>                        distribution.model = "sstd")
> fit      <- ugarchfit(data = x, spec = fit.spec, solver = "hybrid")
>
>
> On Wed, Nov 5, 2014 at 9:16 AM, Lasse Thorst <thorstlasse at gmail.com>
> wrote:
>
>> Hi - First question here, so please bear with me:
>>
>> I would like to added lagged values to a rugarch-model, but have been
>> unable to find answers in the vignette.
>>
>> Basic test-code:
>>
>> require(rugarch)
>> require(quantmod)
>>
>> x = runif(n = 1000, min = -5, max = 100)
>> ext.reg_lagged = cbind(Lag(x, k = 1), Lag(x, k = 2))
>> ext.reg = cbind(x + runif(n = 1000, min = 5, max = 20), x - runif(n =
>> 1000,
>> min = 5, max = 15))
>>
>> fit.spec <- ugarchspec(variance.model = list(model = "sGARCH",
>>                                                  garchOrder = c(1, 1)),
>>                        mean.model         = list(armaOrder = c(3, 1),
>>                                                  include.mean = TRUE,
>>                                                  external.regressors =
>> ext.reg), # with ext.reg.lagged it does not work.
>>                        distribution.model = "sstd")
>>
>> fit      <- ugarchfit(data = x, spec = fit.spec, solver = "hybrid")
>>
>> Now this works perfectly, but if I exchange the external.regressors =
>> ext.reg_lagged
>> it no longer works.
>>
>> How can you do this in rugarch? Or do I need to try another package?
>>
>> /Regards Lasse
>>
>>         [[alternative HTML version deleted]]
>>
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>
>

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