[R-SIG-Finance] rmgarch::Alexios Ghalanos

[alexios galanos]

The plotting functionality has been fixed in version 1.3-5 which is available in the package’s bitbucket development repo (https://bitbucket.org/alexiosg/rmgarch/src/master/).

Additionally, an extra argument (‘output') has been added to rcor and rcov which returns the pairwise values in matrix (or xts if a date is available) format (set output=“matrix” rather than default “array”).

To use ggplot you probably want to convert the output to a long data.frame. The tsbox package has useful automatic converters to help you do this.
 

Alexios


> On Aug 22, 2018, at 9:24 AM, Amit Mittal <prof.amit.mittal using gmail.com> wrote:
> 
> Does anyone have the workaround for or a working copy of rmgarch with the
> plot function working after updating the R packages to 3.5.1?
> 
> 
> 
> I am using pairwise cmd as suggested workaround to get some output
> 
> 
> 
> plot(rmdcc.fit, which=1, series=c(2,6))
> 
> Error in mtext(paste("rmgarch  : DCC model fit"), side = 4, adj = 0,
> padj = 0,  :
> 
>  plot.new has not been called yet
> 
> 
> 
> My final goal is to get multiple plots on the same graph so I can point to
> common regimes before and after the crises
> 
> 
> 
> My data set uses n indices from 37 indices (n>10) I have been unable to use
> score models in multivariate specification because I do not have the
> required package name
> 
> 
> 
> The rmgarch functions respond fast on both dccfit and cgarchfit but the
> plot fn it seems to longer works , as seen on various R forums
> 
> 
> 
> I get a plot.new() not called error which seems to be however a syntax
> problem
> 
> 
> 
> I am using
> 
> `plot(dccfitobj.2019)` as suggested by zivot (EE502 presentation on uwash)
> 
> 
> 
> And am also ready to try if plot or ggplot2 can work with the @mfit/@model
> names/coefs/R/Q
> 
> 
> 
> plot(rmdcc.fit.t)
> 
> 
> 
> Make a plot selection (or 0 to exit):
> 
> 
> 
> 1:   Conditional Mean (vs Realized Returns)
> 
> 2:   Conditional Sigma (vs Realized Absolute Returns)
> 
> 3:   Conditional Covariance
> 
> 4:   Conditional Correlation
> 
> 5:   EW Portfolio Plot with conditional density VaR limits
> 
> 
> 
> Selection: 3
> 
> Error in mtext(paste("rmgarch  : DCC model fit"), side = 4, adj = 0,
> padj = 0,  :
> 
>  plot.new has not been called yet
> 
>> ################################################################################
> 
> 
> 
> ______________________________
> Amit Mittal
> Ph.D. in Finance and Accounting (tbd)
> Indian Institute of Management, Lucknow
> http://ssrn.com/author=2665511
> Mob: +91 7899381263
> 
> ______________________________
> 
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> 
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