Hi,

I have looked at the article on the multiplicative component GARCH model found at http://unstarched.net/2013/03/20/high-frequency-garch-the-multiplicative-component-garch-mcsgarch-model/, and would like to adapt the example given for FX data.

I am trying to reproduce the initial plots that show the four volatility components of the model (second figure), and only the plot of Daily-Forecast is the same. My Diurnal plot seems to be lower than that in the example, which presumably then affects the Stochastic and Total plots.

I think that both data sets used are fine as the ACF plot and Daily_Forecast plot are both the same as in the example. I assume therefore that the problem lies in the following lines:

spec = ugarchspec(mean.model = list(armaOrder = c(1, 1), include.mean = TRUE), variance.model = list(model = 'mcsGARCH'), distribution = 'nig')
fit = ugarchfit(data = R_i, spec = spec, DailyVar = f_sigma^2)

Is anyone able to explain the discrepancy? I wonder whether perhaps different versions have different function defaults, or something like that, though I can't spot a problem. I am using R version 3.1.0 and rugarch version 1.3-1.

Many thanks!

Will

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