[R-SIG-Finance] Apparent bug in rmgarch

[Josh Segal]

A separate but related issue:

Fitting a VAR model with the varxfit function depends on a random seed via
runif() in the mlts() function - without the ability to set the seed.  This
creates reproducibility issues.  Perhaps an rseed argument should be made
available like some of the other functions in the package.

Thanks very much!

On Fri, Jan 26, 2018 at 10:45 AM Josh Segal <joshua.segal using gmail.com> wrote:

> I'll try that, thanks!
>
> On Wed, Jan 24, 2018 at 10:15 PM, alexios galanos <alexios using 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 using model$midx
>> mpars = fit1 using model$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 using msim$rseed)
>> > 497782424 497782425 995564850
>> sim2 = dccsim(fitORspec = fit1, n.sim = 1000, n.start = 100, m.sim = 2,
>> startMethod = "unconditional",
>>               rseed=sim1 using msim$rseed)
>>
>> all.equal(sim1 using msim$simX[[1]],sim2 using msim$simX[[1]])
>> > TRUE
>> all.equal(sim1 using msim$simX[[2]],sim2 using msim$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 using mfit$Qbar)
>> sims2 = dccsim(fitORspec = spec2, n.sim = 1000, n.start = 100, m.sim = 2,
>> startMethod = "unconditional",
>>               rseed=sims1 using msim$rseed, preQ = last(rcor(fit1, type =
>> "Q"))[,,1],
>>               Qbar = fit1 using mfit$Qbar)
>>
>> all.equal(sims1 using msim$simX[[1]],sims2 using msim$simX[[1]])
>> > TRUE
>> all.equal(sims1 using msim$simX[[2]],sims2 using 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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