
Here is the data sample, that is, the exchange rate return in 2004.







2004-1-1
-0.055839927

2004-1-2
-0.475902545

2004-1-5
-0.572207368

2004-1-6
-0.103534293

2004-1-7
-0.028255239

2004-1-8
0.018837713

2004-1-9
0.272748817

2004-1-12
-0.009392758

2004-1-13
-0.009393641

2004-1-14
-0.206883655

2004-1-15
-0.113026291

2004-1-16
0.694968988

2004-1-19
0.410946688

2004-1-20
-0.093248795

2004-1-21
-0.317697894

2004-1-22
-0.68554525

2004-1-23
0.028265888

2004-1-26
0.028257901

2004-1-27
-0.25460903

2004-1-28
-0.132275152

2004-1-29
0.339783243

2004-1-30
-0.29252203

2004-2-2
-0.20811662

2004-2-3
-0.256009242

2004-2-4
0.151788285

2004-2-5
0.066334994

2004-2-6
-0.104260471

2004-2-9
0.198948481

2004-2-10
-0.056802046

2004-2-11
-0.132663717

2004-2-12
-0.085376849

2004-2-13
0.104339587

2004-2-16
-0.037929073

2004-2-17
0.312485459

2004-2-18
0.65024024

2004-2-19
0.599364971

2004-2-20
0.632913505

2004-2-23
0.499769666

2004-2-24
-0.018465516

2004-2-25
0.193718063

2004-2-26
0.981254148

2004-2-27
-0.33822419

2004-3-1
-0.229179181

2004-3-2
1.058983787

2004-3-3
0.045394708

2004-3-4
0.642390809

2004-3-5
0.790517951

2004-3-8
0.330519752

2004-3-9
-0.913821088

2004-3-10
-0.252320581

2004-3-11
0.189300097

2004-3-12
-0.207347381

2004-3-15
-0.970309132

2004-3-16
-0.759207854

2004-3-17
-0.672534664

2004-3-18
-1.302586337

2004-3-19
0.065533869

2004-3-22
0.289706291

2004-3-23
-0.420817005

2004-3-24
-0.403775374

2004-3-25
-0.33930287

2004-3-26
0.018880393

2004-3-29
-0.41619432

2004-3-30
0.47281412

2004-3-31
-1.73189218

2004-4-1
-0.461805708

2004-4-2
0.768495617

2004-4-5
0.23894874

2004-4-6
1.308819897

2004-4-7
-0.311423835

2004-4-8
0.490289498

2004-4-9
0.206708708

2004-4-12
-1.123236124

2004-4-13
1.423142628

2004-4-14
0.569217232

2004-4-15
0.870859682

2004-4-16
0.082983731

2004-4-19
-0.046093571

2004-4-20
-0.60115788

2004-4-21
1.473323151

2004-4-22
0.355856026

2004-4-23
-0.547996622

2004-4-26
-0.321057011

2004-4-27
0.56802718

2004-4-28
-0.164578989

2004-4-29
0.856497263

2004-4-30
0.163176539

2004-5-3
0.199077072

2004-5-4
-0.607518757

2004-5-5
-0.867783477

2004-5-6
0.585438921

2004-5-7
2.468371425

2004-5-10
1.431246271

2004-5-11
-0.395517984

2004-5-12
-0.326379684

2004-5-13
1.142066353

2004-5-14
-0.157356445

2004-5-17
-0.03500175

2004-5-18
-0.017505471

2004-5-19
-1.286248021

2004-5-20
0.256807757

2004-5-21
-0.834818347

2004-5-24
0.569143377

2004-5-25
0

2004-5-26
-0.890715785

2004-5-27
-0.197026752

2004-5-28
-0.972892999

2004-5-31
-0.936753701

2004-6-1
0.846190391

2004-6-2
-0.072509747

2004-6-3
0.605651569

2004-6-4
0.126092064

2004-6-7
-1.377582054

2004-6-8
0.191457414

2004-6-9
0.100141116

2004-6-10
-0.154805841

2004-6-11
0.427409372

2004-6-14
0.849377113

2004-6-15
-1.550559242

2004-6-16
0.58314516

2004-6-17
-0.931003439

2004-6-18
-0.339870809

2004-6-21
0.045996045

2004-6-22
0.46795516

2004-6-23
-0.37602649

2004-6-24
-1.621081306

2004-6-25
0.642310796

2004-6-28
0.342735735

2004-6-29
0.036982249

2004-6-30
1.09401229

2004-7-1
-1.038564548

2004-7-2
0.092344637

2004-7-5
0.662375927

2004-7-6
0.265555762

2004-7-7
-0.854117329

2004-7-8
0.561049989

2004-7-9
-0.773413302

2004-7-12
0.092387294

2004-7-13
0.046161659

2004-7-14
0.543104386

2004-7-15
0.868338713

2004-7-16
-0.200419125

2004-7-19
-1.312607767

2004-7-20
-0.046208586

2004-7-21
1.659294613

2004-7-22
-0.236664957

2004-7-23
0.300286863

2004-7-26
-0.018173558

2004-7-27
-0.236557293

2004-7-28
1.876972627

2004-7-29
0.1607861

2004-7-30
-0.492104961

2004-8-2
-0.584718078

2004-8-3
-0.298170539

2004-8-4
0.784176356

2004-8-5
0.14354928

2004-8-6
0.07169744

2004-8-9
-0.890894531

2004-8-10
0.216704374

2004-8-11
-0.108293486

2004-8-12
0.234487842

2004-8-13
-0.333859999

2004-8-16
0.027111292

2004-8-17
-0.598152953

2004-8-18
-0.009090496

2004-8-19
-0.592661867

2004-8-20
-0.054884743

2004-8-23
0.191964957

2004-8-24
0.082158022

2004-8-25
0.67297453

2004-8-26
-0.217766169

2004-8-27
-0.592175921

2004-8-30
0.364830759

2004-8-31
0

2004-9-1
-0.191370177

2004-9-2
-0.036493021

2004-9-3
0.935477509

2004-9-6
-0.425783132

2004-9-7
-0.445840327

2004-9-8
-0.018239854

2004-9-9
0.109389254

2004-9-10
-0.319387049

2004-9-13
0.565076239

2004-9-14
-0.46458749

2004-9-15
0.673403218

2004-9-16
-0.563894173

2004-9-17
0.364166462

2004-9-20
-0.218340698

2004-9-21
0.136518793

2004-9-22
0.517078305

2004-9-23
-0.0814664

2004-9-24
0.262265581

2004-9-27
0.540444479

2004-9-28
0.089790793

2004-9-29
-0.431732997

2004-9-30
-0.914571504

2004-10-1
0.453803647

2004-10-4
0.406669938

2004-10-5
0.2162163

2004-10-6
0.251662905

2004-10-7
-0.224668708

2004-10-8
-1.532145469

2004-10-11
-0.164578989

2004-10-12
0.401827025

2004-10-13
0.054669705

2004-10-14
-0.301053915

2004-10-15
-0.127994166

2004-10-18
0.127994166

2004-10-19
-0.770433968

2004-10-20
-0.267367513

2004-10-21
-0.713395345

2004-10-22
-0.120947124

2004-10-25
-0.635041357

2004-10-26
-0.084352599

2004-10-27
-0.093808637

2004-10-28
-0.366696852

2004-10-29
-0.150829591

2004-11-1
0.367249342

2004-11-2
-0.065817312

2004-11-3
0.422357379

2004-11-4
-0.62006963

2004-11-5
-0.349304108

2004-11-8
-0.151429141

2004-11-9
0.094670082

2004-11-10
0.25516245

2004-11-11
0.65851602

2004-11-12
-1.055717223

2004-11-15
-0.170713243

2004-11-16
-0.047472111

2004-11-17
-1.242252

2004-11-18
0.172927318

2004-11-19
-0.442521165

2004-11-22
-0.589858114

2004-11-23
0.271186607

2004-11-24
-0.475060276

2004-11-25
-0.29197101

2004-11-26
0.340550074

2004-11-29
-0.213924625

2004-11-30
0.340119856

2004-12-1
-0.242824654

2004-12-2
0.359171381

2004-12-3
-0.797747202

2004-12-6
0.321810215

2004-12-7
-0.068176287

2004-12-8
1.210492678

2004-12-9
0.919811027

2004-12-10
0.504210743

2004-12-13
-0.389826973

2004-12-14
0.645714901

2004-12-15
-1.343581125

2004-12-16
-0.211274447

2004-12-17
0.144099165

2004-12-20
0.182228027

2004-12-21
0.047899603

2004-12-22
-0.306954677

2004-12-23
-0.317536952

2004-12-24
-0.106070113

2004-12-27
-0.687354466

2004-12-28
0.203794529

2004-12-29
0.184028334

2004-12-30
-0.29072605

2004-12-31
-0.525446378

Thanks,
Juan Lin

 

> From: ecsniffer@hotmail.com
> To: r-sig-finance@r-project.org
> Date: Wed, 29 Feb 2012 12:26:54 +0000
> Subject: Re: [R-SIG-Finance] test for the change in the parameters in t-GARCH model
> 
> 
> I attach the data sample on this post. Hope someone could take a few minutes to help me since I'm really stuck on this question.
> The data sample spans from January 1, 2004 to August 17, 2007. 
> 
> Thanks,
> Juan Lin
> 
> 
> 
> 
> 
> > mean.model = list(armaOrder = c(1,0), include.mean = TRUE), distribution.model = "std",
> > start.pars = list(), fixed.pars = list())
> > fit=ugarchfit(spec,data=returns)
> > 
> > I got the following outputs,
> > ------------------------------------
> > Estimate Std. Error t value Pr(>|t|)
> > mu1 -0.032963 0.019254 -1.7120 0.086890
> > ar1 -0.046786 0.030325 -1.5428 0.122876
> > omega1 0.004678 0.004578 1.0219 0.306845
> > alpha1 0.026866 0.011168 2.4056 0.016146
> > beta1 0.965258 0.016990 56.8131 0.000000
> > shape 5.527051 0.925862 5.9696 0.000000
> > 
> > Step 2: test whether the parameters(mu1, ar1, omega1, alpha1, beta1, shape) change following the introduction of euro. 
> > 
> > My idea is to include a dummy vector i, i=1 after the introduction of euro, i=0 before the introduction of euro. 
> > I calculate i*mu1, i*y_{t-1}, i*omega1, i*epsilon_{t-1}^2 and i*sigma_{t-1}^2 and put them as exogenous variables to see 
> > whether their parameters ([mu2],[ar2],[omega2], [alpha2],[beta2]) are significant. 
> > If they are, the parameters change following the introduction of euro. If they are not, the parameters do not change.
> > 
> > 
> > The model becomes,
> > y_t=[mu] + [ar1]*y_{t-1} + [mu2]*i*mu1 + [ar2]*i*y_{t-1}+varepsilon_t
> > eta_t^2=[omega] + [alpha1]*varepsilon_{t-1}^2 + [beta1]*eta_{t-1}^2 + [omega2]*i*omega1 + [alpha2]*i*epsilon_{t-1}^2 + [beta2]*i*sigma_{t-1}^2
> > varepsilon_t/eta_t~t[shape1]
> > 
> > 
> > My code is as follows,
> > spec=ugarchspec(variance.model=list(model="sGARCH",garchOrder=c(1,1),submodel=NULL, 
> > external.regressors=as.matrix(i*omega1, i*epsilon_{t-1}^2, i*sigma_{t-1}^2), variance.targeting = FALSE),
> > mean.model = list(armaOrder = c(1,0), include.mean = TRUE, garchInMean = FALSE,
> > inMeanType = 1, arfima = FALSE, external.regressors =as.matrix(i*mu1, i*y_{t-1})), distribution.model = "std",
> > start.pars = list(), fixed.pars = list())
> > fit=ugarchfit(spec,data=returns)
> > 
> > My question is,
> > (1)How can I get sigma_t^2 from the first step?
> > (2)Am I right at the step two?
> > (3)How can I tell whether [shape] changes following the introduction of euro?
> > 
> > Thanks,
> > Juan Lin
> > 
> > 
> > 
> > > Subject: Re: [R-SIG-Finance] test for the change in the parameters in t-GARCH model
> > > From: brian@braverock.com
> > > To: ecsniffer@hotmail.com
> > > CC: r-sig-finance@r-project.org
> > > Date: Mon, 27 Feb 2012 05:49:41 -0600
> > > 
> > > On Mon, 2012-02-27 at 03:10 +0000, LINJUAN wrote:
> > > > I fit a AR(1), t-GARCH(1,1) model to the Yen-USD exchange rate from
> > > > 1995 to 2004. 
> > > > 
> > > > I add a dummy variable to the model, which takes the value zero in
> > > > the pre-euro sample and one in the post-euro sample.
> > > > 
> > > > My question is how can I test whether the degree of freedom parameter
> > > > changes following the introduction of euro?
> > > > 
> > > > Thanks,
> > > > Juan Lin 
> > > 
> > > Since there is clearly no 'secret sauce' in this question, it would make
> > > things easier for everyone else to help you if you posted a
> > > *reproducible example*.
> > > 
> > > 
> > > -- 
> > > Brian
> > > 
> > 
> > [[alternative HTML version deleted]]
> > 
> > _______________________________________________
> > R-SIG-Finance@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions should go.
> 
> 
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> 
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> 
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