[R-SIG-Finance] Preparing data for Superior predictive ability (SPA) test

[Brian G. Peterson]

Please follow the posting guide

http://www.r-project.org/posting-guide.html

and provide a reproducible example.  For instance, you could repeat your 
'n' samples using some of the test data from rugarch.

It is very difficult for others to help you if we don't know the format 
your data is in *now*.

Regards,

Brian


On 11/27/2014 11:24 PM, Karthik Raju wrote:
> Hello,
>
> Can anyone please let me know how to prepare data to compute Superior
> predictive ability (SPA) test in R?
>
> I am working on forecasting volatility in stock markets, the context is,
>
> 1) I used "rugarch" package to forecast the volatility using "n"
> autoregressive models.
>
> 3) Extracted "sigma" values from the forecasts of those "n" models and
> used it in a worksheet against realized volatility to calculate daily
> loss functions for each model, say, MSE, MAE, RMSE etc.
>
> 3) I want to compute the SPA test statistics using "ttrTests" package
> and find the SPA test p-values for a benchmark model against "n"
> alternatives. How to prepare data for this purpose?
>
> Thanks,
> Karthik

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock