[R-SIG-Finance] modeling VARMA-Garch in R

[Marcio Bernardo]

Hi,

I was wondering if the current rmgarch version allows for a VARMA-GARCH modeling. 


I tried forcing the issue, changing the rmgarch example:


uspec.n = multispec(replicate(30, ugarchspec(mean.model = list(armaOrder = c(1,1)))))
spec.dccn = dccspec(uspec.n, dccOrder = c(1, 1), distribution = 'mvnorm')
fit.1 = dccfit(spec.dccn, data = X, solver = 'solnp', cluster = cl, fit.control = list(eval.se = FALSE))

but the results were a bit off:


> fit.1

*---------------------------------*
*          DCC GARCH Fit          *
*---------------------------------*

Distribution         :  mvnorm
Model                :  DCC(1,1)
No. Parameters       :  617
[VAR GARCH DCC UncQ] : [0+180+2+435]
No. Series           :  30
No. Obs.             :  1141
Log-Likelihood       :  70882.93
Av.Log-Likelihood    :  62.12 

Optimal Parameters
-----------------------------------
               Estimate  Std. Error  t value Pr(>|t|)
[AA].mu        0.002643          NA       NA       NA
[AA].ar1      -0.693738          NA       NA       NA
[AA].ma1       0.664589          NA       NA       NA
[AA].omega     0.000065          NA       NA       NA
[AA].alpha1    0.115044          NA       NA       NA
[AA].beta1     0.869706          NA       NA       NA
[AXP].mu       0.002737          NA       NA       NA
[AXP].ar1      0.072418          NA       NA       NA
[AXP].ma1     -0.150777          NA       NA       NA
[AXP].omega    0.000011          NA       NA       NA
[AXP].alpha1   0.064777          NA       NA       NA
[AXP].beta1    0.934223          NA       NA       NA
.
.
.
[Joint]dcca1   0.004960          NA       NA       NA
[Joint]dccb1   0.942361          NA       NA       NA

Information Criteria
---------------------
                    
Akaike       -123.17
Bayes        -120.44
Shibata      -123.51
Hannan-Quinn -122.14



This seems to be a ARMA-DCC fit, instead of VARMA-DCC and the NA is troubling me.




I understand the package support VAR-Garch. Is there any package currently available in R that have VARMA-Garch model (I don’t have access to RATS)?


Any help would be much appreciated,



Márcio R. Bernardo