[R-SIG-Finance] To obtain the t student of each rolling window with EGARCH model

Sandrine Boulerne sandrine.boulerne at univ-tours.fr
Mon Sep 11 18:03:12 CEST 2017

Good Morning, 

I investigate the day-of –the-week of 11 indices in 11 countries using EGARCH model and rolling sample method with one sample interval case of 500 days. The main purpose of the empirical analysis is to determine whether there exist calendar effects or not by observing whether the t values exceed the quantile of the standard normal distribution z = 1.96 for confidence level of 5%. I want to use the same method as Zhang, Lai, Lin (2017), “the day-of-the-week effects of stocks markets in different countries”, Finance Research Letters 20. 

For the EGARCH model, I used Package “Rugarch”, and everything is good : 

spec2b<-ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1,1), external.regressors=L1), mean.model=list(armaOrder=c(0,0),archm=TRUE,archpow=1,external.regressors=L2), 

distribution.model = "std") 

fit2b<-ugarchfit(spec=spec2b,solver="hybrid", data=RENT) 


But for the rolling sample method, with EGARCH(1,1), I thought using “ugarchroll” or “ugarchdistribution ”, to calculate the student t for each rolling window , but I do not get student t : 

dist <- ugarchdistribution(fit2b, n.sim = 500, n.start = 1, m.sim = 100, solver = "solnp") 



roll1=ugarchroll(spec1b,data = RENT,n.start = NULL,window.size = 500,solver = "solnp" ) 


Could you orient me to a solution ? 

Thank you very much 

Sandrine BOULERNE 
Maître de Conférences - Habilitation à Diriger des Recherches (HDR) 
IAE de Tours - Faculté de Droit, Économie et Sciences Sociales 
50 av. Jean Portalis, BP 0607, 37206 TOURS Cedex 3 
Téléphone : 02 47 36 10 47 

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