[R-SIG-Finance] Simulating paths in rmgarch
Josh Segal
joshua.segal at gmail.com
Mon Mar 27 20:34:32 CEST 2017
The recent version works for me, thanks very much
On Fri, Mar 24, 2017 at 7:05 PM alexios galanos <alexios at 4dscape.com> wrote:
> 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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