Simulating paths in rmgarch
Josh, I've pushed a fix to the repo. Try downloading now and re-installing. Apparently the returned matrix was constructed badly, aligning the vectors by row rather than by column...good catch. I'll try to spend some time this weekend conducting a general overview of the package which I've not looked at for some time and also release to CRAN soon the new version (of this and related) to also fix the issue which has recently been cropping up on the checks related to the registration of 'native routines'. Cheers, Alexios
On 24/03/2017 16:55, Josh Segal wrote:
Will do, thanks again!
On Fri, Mar 24, 2017 at 5:17 PM, Alexios Ghalanos <alexios at 4dscape.com
<mailto:alexios at 4dscape.com>> wrote:
Yes...will check this weekend to see whether something may have
gone amiss in the AR/Constant simulation. Check my bitbucket repo
by next week to see if any changes were committed and reinstall
from there if so.
Alexios
On Mar 24, 2017, at 3:40 PM, Josh Segal <joshua.segal at gmail.com
<mailto:joshua.segal at gmail.com>> wrote:
VAR seems ok, while AR and constant are not
Should I only use VAR with GOGARCH?
On Fri, Mar 24, 2017 at 3:43 PM, alexios galanos
<alexios at 4dscape.com <mailto:alexios at 4dscape.com>> wrote:
Try using model="VAR" instead of "AR"....will check to see if
something
is amiss otherwise.
A.
On 24/03/2017 13:42, Josh Segal wrote:
> Alexios,
>
> Thanks again for your help.
> I'm getting some counterintuitive results with the
seriesSim output.
> When I run your exact example above and then compute
> cor(sim at msim$seriesSim[[1]]), I get a correlation matrix
that has
> non-diagonal values close to zero (ranging from -0.10 to 0.08).
> When I measure the correlation of the original data
> (cor(dji30ret[,1:5])) I get values from 0.33 to 0.66.
> Shouldn't the simulation demonstrate higher unconditional
> correlations? Am I misunderstanding something about the
package, or
> does this indicate a problem?
>
> Thanks,
> Josh
>
> On Wed, Mar 22, 2017 at 4:06 PM, alexios galanos
<alexios at 4dscape.com <mailto:alexios at 4dscape.com>
> <mailto:alexios at 4dscape.com <mailto:alexios at 4dscape.com>>>
wrote:
>
> library(rmgarch)
> data("dji30ret")
> spec<-gogarchspec(mean.model=list(model="AR"),ica =
"radical")
> fit=gogarchfit(spec,dji30ret[,1:5])
> sim=gogarchsim(fit,n.sim = 1000,m.sim=1,startMethod =
> "sample",rseed = 10)
>
> head(sim at msim$seriesSim[[1]])
> str(sim at msim)
>
> There are lots of examples and demos in the
/inst/rmgarch.tests/
> folder of the source package.
>
> Alexios
>
>
> On 3/22/2017 2:54 PM, Josh Segal wrote:
>
> Hi everyone,
>
> I'm trying to use the rmgarch package to estimate a
> multivariate GARCH
> model and then use those parameters to simulate paths
> forward. I've gotten
> as far as creating a goGARCHsim object (for
example), but
> can't figure out
> how to access the simulated returns. I've looked
through all
> the methods
> described in the documentation (page 58) but don't see
> anything relevant.
> I believe I am able to do this in the univariate
case with
> rugarch - is it
> not possible in rmgarch?
>
> Thanks for your help!
>
> [[alternative HTML version deleted]]
>
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