[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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>

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