[R-SIG-Finance] Fitting qGARCH, eGARCH and nGARCH (with rugarch)

[alexios ghalanos]

Download the src:
http://cran.r-project.org/src/contrib/rugarch_1.3-4.tar.gz

See the extensive examples under the folder 'inst/rugarch.tests/'

Alexios

PS qGARCH, if it means the quadratic-GARCH of Sentana is not 
implemented. In any case there is no model called qGARCH in rugarch.


On 10/11/2014 19:44, Lasse Thorst wrote:
> Hi
>
> I need to fit a ARMA(1, 1)-qGARCH(1 ,1), ARMA(1, 1)-nGARCH(1, 1) and a
> ARMA(1, 1)-eGARCH(1, 1) to be able to compare them, and see what fits my
> data the best.
>
> I have searched and searched, but I can't where it says how to do it. I
> have fitted a ARMA(1, 1)-sGARCH(1, 1) and a ARMA(1, 1)-gjrGARCH(1, 1) with
> the help of rugarch. Perhaps you can fit a nGARCH via "submodel" in
> rugarch, but I do not understand this theoretically?
>
> Here is my rugarch sample code - I have fitted with both in-mean and
> without in-mean:
>
> x = runif(100, min = 1, max = 125)
> ar = data.frame(matrix(rexp(500, rate=.1), ncol = 5))
>
>
> # with "in mean":
> fit <- ugarchspec(variance.model     = list(model = "gjrGARCH",
>                                                         garchOrder = c(1,
> 1)),
>                               mean.model         = list(armaOrder = c(1,1),
>                                                         include.mean = TRUE,
> archm = TRUE,
>                                                         external.regressors
> = ar),
>                               distribution.model = "sstd")
> fitmodel <- ugarchfit(data = x, spec = fit)
>
> # without "in mean"
>
> fit2 <- ugarchspec(variance.model     = list(model = "gjrGARCH",
>                                                        garchOrder = c(1,
> 1)),
>                              mean.model         = list(armaOrder = c(1,1),
>                                                        external.regressors =
> ar),
>                              distribution.model = "sstd")
>
> fitmodel2 <- ugarchfit(data = x, spec = fit2)
>
> Regards
>
> 	[[alternative HTML version deleted]]
>
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