[R-SIG-Finance] dccfit (RMGARCH): using uGARCHmultifit
borkrese@rch m@iii@g oii gm@ii@com
borkrese@rch m@iii@g oii gm@ii@com
Thu Nov 5 22:21:25 CET 2020
Thanks Alexios for providing me references to examples. However, I’m not able to add a fit to the multifit object. How can I do this? See example below
library(rmgarch)
library(parallel)
data(dji30retw)
Dat = dji30retw[, 1:10, drop = FALSE]
# Ten-asset example from http://www.unstarched.net/2013/01/03/the-garch-dcc-model-and-2-stage-dccmvt-estimation/
# (1) Replicate example
xspec = ugarchspec(mean.model = list(armaOrder = c(1, 1)), variance.model = list(garchOrder = c(1,1), model = 'sGARCH'), distribution.model = 'norm')
uspec = multispec(replicate(10, xspec))
spec1 = dccspec(uspec = uspec, dccOrder = c(1, 1), distribution = 'mvnorm')
cl = makePSOCKcluster(10)
multf = multifit(uspec, Dat, cluster = cl)
multf using fit
fit1 = dccfit(spec1, data = Dat, fit.control = list(eval.se = TRUE), fit = multf, cluster = cl)
fit1 using mfit$matcoef
# (2) subset of 9 assets.
uspec9 = multispec(replicate(9, xspec))
cl9 = makePSOCKcluster(9)
multf9 = multifit(uspec9, Dat[,1:9], cluster = cl9)
multf9 using fit
# (3) Suppose we want to add an additional fit (imagine it was hard to estimate)
fit10 <- ugarchfit(spec=xspec,data=Dat[,10],solver.control=list(trace=0))
multf10 <- multf9
multf10 using fit[[10]] <- fit10 # to be used in dccfit(spec10, data = cbind(Dat[,1:9],Dat[,10]), fit.control = list(eval.se = TRUE), fit = multf10, cluster = cl)
## the last line does not seem to work:
# Error in `colnames<-`(`*tmp*`, value = asset.names)
# attempt to set 'colnames' on an object with less than two dimensions
Thanks, Lasse
From: Alexios Galanos <alexios using 4dscape.com>
Sent: 05 November 2020 08:16
To: borkresearch using gmail.com
Cc: R-SIG-Finance using r-project.org
Subject: Re: [R-SIG-Finance] dccfit (RMGARCH): using uGARCHmultifit
Take a look at the examples in the inst/rmgarch.tests folder of the source package or this post from 7+ years ago:
http://www.unstarched.net/2013/01/03/the-garch-dcc-model-and-2-stage-dccmvt-estimation/
-Alexios
On Nov 4, 2020, at 10:48 PM, borkresearch using gmail.com <mailto:borkresearch using gmail.com> wrote:
Anyone tried the function input uGARCHmultifit of the dccfit function from rmgarch? If so can you provide an example of how you used it and how to setup the uGARCHmultifit object? I can't figure it out.
According to the documentation <https://www.rdocumentation.org/packages/rmgarch/versions/1.3-7/topics/dccfit-methods> it should be possible to use the fit argument in dccfit where
* " fit: (A previously estimated univariate '>uGARCHmultifit object (see details)."
I'd like to input my fits of several GARCH models directly into the final DCC estimation because the GARCH models where difficult to estimate (I used several optimizers).
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