[R-SIG-Finance] Fwd: Problems with rugarch package

Alexios Ghalanos @|ex|o@ @end|ng |rom 4d@c@pe@com
Tue Feb 4 19:08:33 CET 2020

Hi Camila,

Can you provide some reproducible code to help us investigate and debug this issue. It is hard to do so from the description provided.



> On Feb 4, 2020, at 10:00 AM, Camila Villegas <camila.villegas.orellana using gmail.com> wrote:
> Greetings
> My name is Camila Villegas, I  write to you about a fault that I found in
> the rugarch package and that I would like to discuss with you.
> For my master's research, I conducted simulations with the rugarch package
> to evaluate its operation with a TGARCH model (1,1).
> First I analyzed the convergence of the estimated parameters and they
> presented no problems. plus the mean square error decreased as the sample
> size increased.
> The validation of the modeling results (obtained by the "ugarchfit"
> function) I carried out by analyzing the residues generated by the
> "residuals" function. The simulated residues originally had zero mean and
> variance one, however, in the 10,000 simulations that I developed, the
> values of the variances of the residues generated by the "ugarchfit"
> function were significantly different from one.
> On the contrary, when calculating the residues "manually" and only using
> the parameters estimated by the package, we obtained means close to zero
> and variances close to one.
> With this last point, I observed a flaw in the residues delivered by the
> rugarch package for a TGARCH process (1,1), since they do not have the same
> variance with which they were simulated.
> Thanking your observations,
> Kind Regards.
> Camila Villegas Orellana
>    [[alternative HTML version deleted]]
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