0
votes
0answers
13 views

garchOxFit in R-oxo file does not match

Could someone please help me with trying to get the Ox interface to work in R. I get the following errors as output: This version may be used for academic research and teaching only Link error: ...
2
votes
1answer
70 views

Is there a way to adjust R PerformanceAnalytics function VaR with EWMA or GARCH method?

Is there a way to upgrade R PerformanceAnalytics function VaR with more risk sensitive approaches like EWMA or GARCH? Or is there another R package which can handle the issue?
1
vote
0answers
39 views

rugarch and rolling estimation

I use Rugarch for a long time in order to calibrate GARCH models on FX rates time series and perform simulations. I am trying to understand the ugarchroll method. However even if I can find plenty of ...
1
vote
1answer
526 views

GARCH model and prediction

I have a question about the prediction of volatility and returns of a time series. Basically it is a question about prediction in the ...
3
votes
1answer
290 views

GARCH(1,1) good fit found, how to predict one day volatility ahead?

I used SPY data to fit GARCH(1,1) in my model. My data starts from Jan, 2000 until Dec, 2013. I compared the volatility using runSD on the 21 rolling window and GARCH(1,1). It looks a pretty good fit ...
3
votes
0answers
523 views

FIGARCH estimation in R

I am trying to estimate a FIGARCH(1,1) model in R for Value-at-Risk purposes. As I understand it, the rugarch package does not support FIGARCH or FIEGARCH. To that end, I used the garchOxFit function ...
0
votes
2answers
317 views

garchOxFit in R

Could someone please help me with trying to get the Ox interface to work in R. I followed the steps outlined in this paper (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1752095), but I get the ...
6
votes
1answer
2k views

Forecasting using rugarch package

I want to do one step ahead in-sample forecasts. My data can be found here. This is just a data frame with the date as the rownames. I specify my model and do the fit and show the plots with ...
9
votes
1answer
258 views

rugarch: Joint estimation leads to different results

I want to fit an ARMA-GARCH model to my data using rugarch package in R. First of all, I look at the acf and pacf: ...
2
votes
0answers
220 views

Error term/Innovation process in ARCH/GARCH processes?

I am wondering about the distribution of the error term/innovation process in a ARCH/GARCH process and its implementation, I am not sure about some points. The basic assumption is ...
2
votes
0answers
117 views

What does negative gamma mean in APGARCH model?

I got a gamma of -0.1321677. ...
2
votes
0answers
372 views

Markov-Switching E-GARCH with R

I am looking for a R library for modeling a Markov-Switching E-GARCH process. In other questions at StackExchange related to GARCH models, the package rugarch is often mentionned. Do you recommend it ...
2
votes
1answer
482 views

R ARMA-GARCH rugarch package doesn't always converge

I'm trying to compute the standard ARMA(1,1)-GARCH(1,1) as shown in this answer for an entire index,just to store in a database to quickly lookup values for back ...
3
votes
2answers
2k views

GJR-GARCH Model In R

Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?