[R-SIG-Finance] Apparent bug in rmgarch

[Josh Segal]

I'll try that, thanks!

On Wed, Jan 24, 2018 at 10:15 PM, alexios galanos <alexios at 4dscape.com>
wrote:

> Hi Josh,
>
> Thanks for reporting this...I'll investigate further when time permits.
>
> In the meantime, if you let the rseed=NULL, the returned object will
> include the seeds used which can then be passed back into the simulation
> function to obtain reproducible results.
>
> Here is an example:
> ###############################
> library(rmgarch)
> data(dji30retw)
> Dat = dji30retw[, 1:3, drop = FALSE]
> cnames = colnames(Dat)
> uspec = ugarchspec(mean.model = list(armaOrder = c(2,1)), variance.model =
> list(garchOrder = c(1,1), model = "eGARCH"), distribution.model = "norm")
> spec1 = dccspec(uspec = multispec( replicate(3, uspec) ), dccOrder =
> c(1,1), distribution = "mvnorm")
> fit1 = dccfit(spec1, data = Dat, fit.control = list(eval.se=FALSE))
> uspec = ugarchspec(mean.model = list(armaOrder = c(2,1)), variance.model =
> list(garchOrder = c(1,1), model = "eGARCH"), distribution.model = "norm")
> vspec = vector(mode = "list", length = 3)
> midx = fit1 at model$midx
> mpars = fit1 at model$mpars
> # nasty, I know...will try to write some wrapper to perform this
> automatically in future.
> for(i in 1:3){
>   vspec[[i]] = uspec
>   setfixed(vspec[[i]])<-as.list(mpars[midx[,i]==1, i])
> }
> dccfix = as.list(coef(fit1, "dcc"))
> spec2 = dccspec(uspec = multispec( vspec ), dccOrder = c(1,1),
> distribution = "mvnorm", fixed.pars = dccfix)
> # Fitted object
> sim1 = dccsim(fitORspec = fit1, n.sim = 1000, n.start = 100, m.sim = 2,
> startMethod = "unconditional",
>               rseed = NULL)
> print(sim1 at msim$rseed)
> > 497782424 497782425 995564850
> sim2 = dccsim(fitORspec = fit1, n.sim = 1000, n.start = 100, m.sim = 2,
> startMethod = "unconditional",
>               rseed=sim1 at msim$rseed)
>
> all.equal(sim1 at msim$simX[[1]],sim2 at msim$simX[[1]])
> > TRUE
> all.equal(sim1 at msim$simX[[2]],sim2 at msim$simX[[2]])
> > TRUE
> # Specification Object
> sims1 = dccsim(fitORspec = spec2, n.sim = 1000, n.start = 100, m.sim = 2,
> startMethod = "unconditional",
>               rseed = NULL, mexsimdata = NULL, vexsimdata = NULL, preQ =
> last(rcor(fit1, type = "Q"))[,,1],
>               Qbar = fit1 at mfit$Qbar)
> sims2 = dccsim(fitORspec = spec2, n.sim = 1000, n.start = 100, m.sim = 2,
> startMethod = "unconditional",
>               rseed=sims1 at msim$rseed, preQ = last(rcor(fit1, type =
> "Q"))[,,1],
>               Qbar = fit1 at mfit$Qbar)
>
> all.equal(sims1 at msim$simX[[1]],sims2 at msim$simX[[1]])
> > TRUE
> all.equal(sims1 at msim$simX[[2]],sims2 at msim$simX[[2]])
> > TRUE
> ###############################
>
> Regards,
>
> Alexios
>
>
> On 1/23/18 11:34 AM, Josh Segal wrote:
>
>> Hi Alexios (and others),
>>
>> First, thank you for creating rmgarch, it's great.
>>
>> I'm trying to generate simulations using dccsim from a spec, and find that
>> when I specify a single value for rseed, the simulation results are not
>> reproducible (that is, each run gives different results).  I can avoid
>> this
>> issue by either using a fit instead of a spec or by specifying a vector of
>> m.sim rseeds.
>>
>> I did some digging in the code, and found in rdcc-main.R:
>> For fit, line 1224: rseed = c(rseed, (1:m.sim)*(rseed+1))
>> For spec, line 1493: rseed = c(rseed, as.integer(runif(m.sim, 1,
>> Sys.time())))
>>
>> I think this explains my results.  Seems like the latter is incorrect, and
>> should match the former, no?
>>
>> Thanks very much,
>> Josh
>>
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>>
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>

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