[R-SIG-Finance] Simulating paths in rmgarch

[alexios galanos]

Josh, I've pushed a fix to the repo. Try downloading now and
re-installing. Apparently the returned matrix was
constructed badly, aligning the vectors by row rather than by
column...good catch. I'll try to spend some time this
weekend conducting a general overview of the package which I've not
looked at for some time and also release to
CRAN soon the new version (of this and related) to also fix the issue
which has recently been cropping up on the
checks related to the registration of 'native routines'.

Cheers,

Alexios

On 24/03/2017 16:55, Josh Segal wrote:
> Will do, thanks again!
>
> On Fri, Mar 24, 2017 at 5:17 PM, Alexios Ghalanos <alexios at 4dscape.com
> <mailto:alexios at 4dscape.com>> wrote:
>
>     Yes...will check this weekend to see whether something may have
>     gone amiss in the AR/Constant simulation. Check my bitbucket repo
>     by next week to see if any changes were committed and reinstall
>     from there if so.
>
>
>     Alexios
>
>     On Mar 24, 2017, at 3:40 PM, Josh Segal <joshua.segal at gmail.com
>     <mailto:joshua.segal at gmail.com>> wrote:
>
>>     VAR seems ok, while AR and constant are not
>>
>>     Should I only use VAR with GOGARCH?
>>
>>     On Fri, Mar 24, 2017 at 3:43 PM, alexios galanos
>>     <alexios at 4dscape.com <mailto:alexios at 4dscape.com>> wrote:
>>
>>         Try using model="VAR" instead of "AR"....will check to see if
>>         something
>>         is amiss otherwise.
>>
>>         A.
>>
>>         On 24/03/2017 13:42, Josh Segal wrote:
>>         > Alexios,
>>         >
>>         > Thanks again for your help.
>>         > I'm getting some counterintuitive results with the
>>         seriesSim output.
>>         > When I run your exact example above and then compute
>>         > cor(sim at msim$seriesSim[[1]]), I get a correlation matrix
>>         that has
>>         > non-diagonal values close to zero (ranging from -0.10 to 0.08).
>>         > When I measure the correlation of the original data
>>         > (cor(dji30ret[,1:5])) I get values from 0.33 to 0.66.
>>         > Shouldn't the simulation demonstrate higher unconditional
>>         > correlations?  Am I misunderstanding something about the
>>         package, or
>>         > does this indicate a problem?
>>         >
>>         > Thanks,
>>         > Josh
>>         >
>>         > On Wed, Mar 22, 2017 at 4:06 PM, alexios galanos
>>         <alexios at 4dscape.com <mailto:alexios at 4dscape.com>
>>         > <mailto:alexios at 4dscape.com <mailto:alexios at 4dscape.com>>>
>>         wrote:
>>         >
>>         >     library(rmgarch)
>>         >     data("dji30ret")
>>         >     spec<-gogarchspec(mean.model=list(model="AR"),ica =
>>         "radical")
>>         >     fit=gogarchfit(spec,dji30ret[,1:5])
>>         >     sim=gogarchsim(fit,n.sim = 1000,m.sim=1,startMethod =
>>         >     "sample",rseed = 10)
>>         >
>>         >     head(sim at msim$seriesSim[[1]])
>>         >     str(sim at msim)
>>         >
>>         >     There are lots of examples and demos in the
>>         /inst/rmgarch.tests/
>>         >     folder of the source package.
>>         >
>>         >     Alexios
>>         >
>>         >
>>         >     On 3/22/2017 2:54 PM, Josh Segal wrote:
>>         >
>>         >         Hi everyone,
>>         >
>>         >         I'm trying to use the rmgarch package to estimate a
>>         >         multivariate GARCH
>>         >         model and then use those parameters to simulate paths
>>         >         forward.  I've gotten
>>         >         as far as creating a goGARCHsim object (for
>>         example), but
>>         >         can't figure out
>>         >         how to access the simulated returns.  I've looked
>>         through all
>>         >         the methods
>>         >         described in the documentation (page 58) but don't see
>>         >         anything relevant.
>>         >         I believe I am able to do this in the univariate
>>         case with
>>         >         rugarch - is it
>>         >         not possible in rmgarch?
>>         >
>>         >         Thanks for your help!
>>         >
>>         >                 [[alternative HTML version deleted]]
>>         >
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