Preparing data for Superior predictive ability (SPA) test
Hello Brain, Thank you for your response. I will explain my work with an example. - I have logarithmic returns computed from daily closing values of a stock market index for a period of 500 days. - The logarithmic returns are used in the "rugarch" package to fit the following models, Model-1 - GARCH (1,1) Model-2 - GJR-GARCH (1,1) Model-3 - EGARCH (1,1) Model-4 - IGARCH (1,1) Model-5 - APARCH (1,1) - Then, using "rugarch", forecasted one step ahead volatility with each of the above model parameters for an out-of-sample period of 100 days. - The forecasted 100 days "sigma" values of each model is extracted from R to a worksheet and used against true volatility proxy to compute the loss functions. - The structure of loss function data for each model is an univariate series for the forecasted period (100 days). - For example, the structure of Mean Square Error (MSE) loss function looks like, Forecasts MSE_GARCH MSE_GJR . . MSE_APARCH Day 1 0.008548 0.005509 . . 0.00412 Day 2 0.008655 0.005498 . . 0.00414 Day 3 0.008759 0.005488 . . 0.004156 Day 4 0.008861 0.005478 . . 0.004169 . . . . . . . . . . . . . . . . . . Day 99 0.008759 0.005488 . . 0.004156 Day 100 0.008861 0.005478 . . 0.004169 - Similarly, the loss functions like Mean Absolute Error, Mean Absolute Percentage Error etc. are in the same structure, which are then imported into R. - Now, by using each of this loss function data series, one at a time, in the "ttrTests" package, I want to know how to compute the SPA test for the following combinations? Benchmark model GARCH (1,1) Vs rest of 4 models Benchmark model GJR GARCH (1,1) Vs rest of 4 models Benchmark model EGARCH (1,1) Vs rest of 4 models Benchmark model IGARCH (1,1) Vs rest of 4 models Benchmark model APARCH (1,1) Vs rest of 4 models Best, Karthik
Please follow the posting guide
http://www.r-project.org/posting-guide.html and provide a reproducible example. For instance, you could repeat your 'n' samples using some of the test data from rugarch. It is very difficult for others to help you if we don't know the format your data is in *now*. Regards, Brian On 11/27/2014 11:24 PM, Karthik Raju wrote: Hello, Can anyone please let me know how to prepare data to compute Superior predictive ability (SPA) test in R? I am working on forecasting volatility in stock markets, the context is, 1) I used "rugarch" package to forecast the volatility using "n" autoregressive models. 3) Extracted "sigma" values from the forecasts of those "n" models and used it in a worksheet against realized volatility to calculate daily loss functions for each model, say, MSE, MAE, RMSE etc. 3) I want to compute the SPA test statistics using "ttrTests" package and find the SPA test p-values for a benchmark model against "n" alternatives. How to prepare data for this purpose? Thanks, Karthik