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<p class="MsoNormal" style="margin-bottom:0in;margin-bottom:.0001pt;
line-height:14.4pt"><span style="font-size:10.0pt;font-family:"Arial","sans-serif";
mso-fareast-font-family:"Times New Roman"">Dear all</span><span style="font-size:12.0pt;font-family:"Times New Roman","serif";mso-fareast-font-family:
"Times New Roman""><o:p></o:p></span></p>
<p class="MsoNormal" style="margin-bottom:0in;margin-bottom:.0001pt;
line-height:14.4pt"><span style="font-size:10.0pt;font-family:"Arial","sans-serif";
mso-fareast-font-family:"Times New Roman"">I have modified my
program according to your recommendation but
unfortunately I still face same problem. I attached the program, data and
out put for your consideration.</span><span style="font-size:12.0pt;
font-family:"Times New Roman","serif";mso-fareast-font-family:"Times New Roman""><o:p></o:p></span></p>
<p class="MsoNormal" style="margin-bottom:0in;margin-bottom:.0001pt;
line-height:14.4pt"><span style="font-size:10.0pt;font-family:"Arial","sans-serif";
mso-fareast-font-family:"Times New Roman"">Thank you very much and waiting
to hera from you.</span><span style="font-size:12.0pt;font-family:"Times New Roman","serif";
mso-fareast-font-family:"Times New Roman""><o:p></o:p></span></p>
<p class="MsoNormal" style="margin-bottom:0in;margin-bottom:.0001pt;
line-height:14.4pt"><span style="font-size:10.0pt;font-family:"Arial","sans-serif";
mso-fareast-font-family:"Times New Roman"">With many kind,</span><span style="font-size:12.0pt;font-family:"Times New Roman","serif";mso-fareast-font-family:
"Times New Roman""><o:p></o:p></span></p>
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<p class="MsoNormal"><o:p> </o:p></p>
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14.4pt"><span style="font-size:12.0pt;font-family:"Times New Roman","serif";
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<br>
--- On <b>Fri, 2/8/13, alexios ghalanos <i><alexios@4dscape.com></i></b> wrote:<br style="mso-special-character:line-break">
<!--[if !supportLineBreakNewLine]--><br style="mso-special-character:line-break">
<!--[endif]--><o:p></o:p></span></p>
<p class="MsoNormal" style="margin-bottom:0in;margin-bottom:.0001pt;line-height:
14.4pt;tab-stops:184.7pt"><span style="font-size:12.0pt;font-family:"Times New Roman","serif";
mso-fareast-font-family:"Times New Roman""><span style="mso-tab-count:1"> </span><br>
From: alexios ghalanos <alexios@4dscape.com><br>
Subject: Re: [R-SIG-Finance] Question<br>
To: "pantea hafezian" <pantea_hafezian@yahoo.com><br>
Cc: r-sig-finance@r-project.org<br>
Date: Friday, February 8, 2013, 1:19 AM<br style="mso-special-character:line-break">
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<!--[endif]--><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-size:12.0pt;line-height:115%;font-family:
"Times New Roman","serif";mso-fareast-font-family:"Times New Roman"">Please
follow the guidelines and post a reproducible example next time.<br>
1. What is data(Gold), where can we find it?<br>
2. There is no model called "egarch" in the specification. It is
"eGARCH"<br>
<br>
You are starting the model with 100 data points using the eGARCH model and the
normal distribution. It is quite likely, that the solution converges to one
which is on the boundary of covariance stationarity. I have replicated this :<br>
########################################<br>
set.seed(10)<br>
X = rnorm(1000)<br>
spec =ugarchspec(variance.model=list(model="eGARCH"),distribution.model
= "norm")<br>
roll = ugarchroll(spec, data = X, n.start = 100, refit.every = 500,
refit.window = "moving", solver = "solnp", fit.control =
list(),<br>
calculate.VaR = TRUE, VaR.alpha = c(0.01, 0.025, 0.05), keep.coef = TRUE)<br>
as.data.frame(roll)<br>
########################################<br>
See the NaNs in the sigma.<br>
<br>
Solutions:<br>
1. Use more more data for the estimation start (e.g. 200).<br>
2. Use a different model (e.g. sGARCH, gjrGARCH etc).<br>
<br>
Also, read some of the older posts in this forum on the amount of data to use
and why it is a bad idea to use so little data.<br>
<br>
-Alexios<o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-size:12.0pt;line-height:115%;font-family:
"Times New Roman","serif";mso-fareast-font-family:"Times New Roman""><o:p> </o:p></span></p>
<p class="MsoNormal"><span style="font-size:12.0pt;line-height:115%;font-family:
"Times New Roman","serif";mso-fareast-font-family:"Times New Roman""><o:p> </o:p></span></p>
<p class="MsoNormal"><span style="font-size:12.0pt;line-height:115%;font-family:
"Times New Roman","serif";mso-fareast-font-family:"Times New Roman""><o:p> </o:p></span></p>
<p class="MsoNormal"><span style="font-size:12.0pt;line-height:115%;font-family:
"Times New Roman","serif";mso-fareast-font-family:"Times New Roman""><o:p> </o:p></span></p>
<p class="MsoNormal"><span class="apple-style-span"><span style="font-size:8.0pt;
line-height:115%;font-family:"Arial","sans-serif";color:black">On 08/02/2013
01:34, pantea hafezian wrote:</span></span><span style="font-size:8.0pt;
line-height:115%;font-family:"Arial","sans-serif";color:black"><br style="outline-style: none;outline-width: initial;outline-color: initial">
<span class="apple-style-span">> Dear Sir/Ms</span><br style="outline-style: none;
outline-width: initial;outline-color: initial">
<span class="apple-style-span">> Thank you for your valuable and very helpful
package (rugarch). Actually</span><br style="outline-style: none;outline-width: initial;
outline-color: initial">
<span class="apple-style-span">> I am going to compare different GARCH models
(VaR) by using this package</span><br style="outline-style: none;outline-width: initial;
outline-color: initial">
<span class="apple-style-span">> but unfortunately I face a problem. The
problem is related to the back</span><br style="outline-style: none;
outline-width: initial;outline-color: initial">
<span class="apple-style-span">> testing method. For instance, in Qupiec
test, the value of K (LRUC) is</span><br style="outline-style: none;
outline-width: initial;outline-color: initial">
<span class="apple-style-span">> amounting to 0 and consequently p-value is
equal to 1 for all models. I</span><br style="outline-style: none;outline-width: initial;
outline-color: initial">
<span class="apple-style-span">> performed this procedure several times with
various data but the results</span><br style="outline-style: none;outline-width: initial;
outline-color: initial">
<span class="apple-style-span">> is same as I mentioned even for your own
example. It would be appreciate</span><br style="outline-style: none;
outline-width: initial;outline-color: initial">
<span class="apple-style-span">> if let me know the result is supposed to be
like this or the problem</span><br style="outline-style: none;outline-width: initial;
outline-color: initial">
<span class="apple-style-span">> rises from my programming.</span><br style="outline-style: none;outline-width: initial;outline-color: initial">
<span class="apple-style-span">> My program is enclosed to this email.</span><br style="outline-style: none;outline-width: initial;outline-color: initial">
<span class="apple-style-span">> Thank you again and I look forward hearing
from you about that.</span><br style="outline-style: none;outline-width: initial;
outline-color: initial">
<span class="apple-style-span">> Sincerely Yours,</span><br style="outline-style: none;
outline-width: initial;outline-color: initial">
<span class="apple-style-span">> Pantea Hafezian</span><br style="outline-style: none;
outline-width: initial;outline-color: initial">
<span class="apple-style-span">> PhD candidate in Finance,</span><br style="outline-style: none;outline-width: initial;outline-color: initial">
<span class="apple-style-span">> University Technology Malaysia (UTM)</span><br style="outline-style: none;outline-width: initial;outline-color: initial">
<span class="apple-style-span">></span><span class="apple-converted-space"> </span></span></p></td></tr></table>