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

[Amit Mittal]

install errors:
non zero exit status in i.p.(...). Please make sure RTOOLS is in path
>>RTOOLS is not available in 3.5.1

I assume errors are not fatal.

BR

Amit



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On Mon, Aug 27, 2018 at 6:48 AM alexios galanos <alexios using 4dscape.com> wrote:

> 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 <+91%2078993%2081263>
> >
> > ______________________________
> >
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> >
> > _______________________________________________
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> >
>
> --

______________________________

Amit Mittal
Pursuing Ph.D. in Finance and Accounting
Indian Institute of Management, Lucknow
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