To obtain the t student of each rolling window with EGARCH model
Have you tried 'coef(roll1)'? I think the documentation is reasonably clear (?ugarchroll). It returns an object of class 'uGARCHroll' (which is clickable in the documentation and will take you to the class help page). In the class help page you will see that one of the methods on the class is: "coef signature(object = "uGARCHroll"): Extracts the list of coefficients for each estimated window in the rolling backtest." Therefore, coef(roll1) will return the list of coefficient matrices per roll window, from which you can extract the shape parameter of the standardized Student distribution. Similarly, please read the documentation for ugarchdistribution. -Alexios
On 9/11/2017 9:03 AM, Sandrine Boulerne wrote:
Good Morning, I investigate the day-of ?the-week of 11 indices in 11 countries using EGARCH model and rolling sample method with one sample interval case of 500 days. The main purpose of the empirical analysis is to determine whether there exist calendar effects or not by observing whether the /t/ values exceed the quantile of the standard normal distribution z = 1.96 for confidence level of 5%. I want to use the same method as Zhang, Lai, Lin (2017), ?the day-of-the-week effects of stocks markets in different countries?, Finance Research Letters 20. For the EGARCH model, I used Package ?Rugarch?, and everything is good: spec2b<-ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1,1), external.regressors=L1), mean.model=list(armaOrder=c(0,0),archm=TRUE,archpow=1,external.regressors=L2), distribution.model = "std") fit2b<-ugarchfit(spec=spec2b,solver="hybrid", data=RENT) show(fit2b) But for the rolling sample method, with EGARCH(1,1), I thought using ??ugarchroll? or ?ugarchdistribution*?, **?to calculate the student /t/ for each rolling window*, *but **I do not get student /t/* : dist <- ugarchdistribution(fit2b, n.sim = 500, n.start = 1, m.sim = 100, solver = "solnp") show(dist) or roll1=ugarchroll(spec1b,data = RENT,n.start = NULL,window.size = 500,solver = "solnp" ) show(roll1) Could you orient me to a solution ? Thank you very much Sandrine BOULERNE Ma?tre de Conf?rences - Habilitation ? Diriger des Recherches (HDR) IAE de Tours - Facult? de Droit, ?conomie et Sciences Sociales 50 av. Jean Portalis, BP 0607, 37206 TOURS Cedex 3 T?l?phone : 02 47 36 10 47 www.iae.univ-tours.fr