why my rugarch ugarchfit function is slow ?
Hi Alexios, One more request. Are those execution times are normal ?
system.time(autoarfima(data = sp500ret, ar.max = 2, ma.max = 2, arfima=TRUE, criterion = "AIC", method = "full"))
user system elapsed 484.99 0.02 487.62
system.time(autoarfima(data = sp500ret, ar.max = 2, ma.max = 2, criterion = "AIC", method = "full"))
user system elapsed 13.71 0.02 13.74 arfima=TRUE option makes autoarfima very slow ? -----Original Message----- From: "alexios ghalanos" [alexios at 4dscape.com] Date: 07/04/2013 04:23 AM To: "ce" <zadig_1 at excite.com> CC: "" <alexios at 4dscape.com>, "" <r-sig-finance at r-project.org> Subject: Re: [R-SIG-Finance] why my rugarch ugarchfit function is slow ? Hi, I took out an old laptop from storage runnnig Mint x46 on an Intel Core 2 (older than the 'i's) and was able to reproduce the problem with rugarch 1.2-5. However, on updating to the newest release on google code (1.2-6) I got: spec = ugarchspec(variance.model = list(model = 'fGARCH',submodel = 'NAGARCH', garchOrder = c(2, 1)), distribution = 'sstd') system.time(ugarchfit(spec, sp500ret, solver = 'hybrid')) user system elapsed 11.412 0.052 11.470 This is "likely" related to a reversal of a change made in a previous version for vectorizing distributions (and affecting among other things the stationarity constraint, but not the likelihood evaluation as this is in any case evaluated in C). Make sure you get the newest version from its google code repository and that you are in fact installing it. Regards, Alexios
On 07/04/2013 10:22 AM, ce wrote:
Hi Alexios, Thanks for the advise, I was just testing different options and wasting my CPU cycles. Re-installing R and rugarch didn't help. You should have a super computer I guess, I did the same test on a dell laptop i5 cpu 64 bit windows 7, 4GB memory, results are :
library("rugarch")
Loading required package: Rcpp
Loading required package: RcppArmadillo
Package Rsolnp (1.14) loaded. To cite, see citation("Rsolnp")
KernSmooth 2.23 loaded
Copyright M. P. Wand 1997-2009
data(sp500ret) spec = ugarchspec(variance.model = list(model = 'fGARCH',submodel = 'NAGARCH', garchOrder = c(2, 1)), distribution = 'sstd') system.time(ugarchfit(spec, sp500ret, solver = 'hybrid'))
user system elapsed 78.45 0.08 79.30
mydata = c(0.082642875,-0.854761542,-0.077033376,0.406766344,-0.158930181,0.221923295,0.142042082,0.197391055,-0.109232737,-0.139228622,-0.121972401,-0.153521155,-0.046589943,-0.145470513,0.219578485,0.043333125,-0.034798222,-0.162685582,-0.053049221,0.207199901,-0.224930862,0.022989518,-0.028370697,0.010733556,0.065427805,-0.065427805,-0.355150941,-0.065554265,0.239806124,-0.054778206,0.203124684,-0.035550984,0.090971778,-0.033601747,0.066111025,0.029852963,0.030573580,-0.060426543,-0.160342650,0.170392986,0.000000000,-0.133531393,0.011363759,0.345311185,-0.057629113,0.083946421,0.165954579,0.038839833,-0.078104552,-0.088468648,0.117783036,0.074901308,0.002059733,0.066658187,0.038702329,0.211970251,0.016345089,-0.076548451,-0.367989997,-0.067762102,-0.016119382,0.148420005,-0.154689618,-0.213753811,-0.117199094,0.019081238,-0.097374164,0.255933374,0.353296810,0.132887519,-0.044246849,0.098646225,0.067682591,-0.066828985,0.241405811,0.032962773,0.067695013,0.050232125,0.092949523,-0.284186788,0.024811748,0.020883211,-0.112795494,0.317639288,0.072787942,0.113058086,0.120935481,0.017040238,-0.011857846,-0.027410019,-0.211765940,-0.054488185,-0.268140917,0.034273403,-0.098347132,0.040078224,-0.010772097,0.000000000,0.000000000,0.000000000,0.000000000,0.537189816) system.time(ugarchfit(spec, mydata, solver = 'hybrid'))
user system elapsed 218.46 0.18 233.61 -----Original Message----- From: "alexios ghalanos" [alexios at 4dscape.com] Date: 07/02/2013 05:37 PM To: "ce" <zadig_1 at excite.com> CC: "" <r-sig-finance at r-project.org> Subject: Re: [R-SIG-Finance] why my rugarch ugarchfit function is slow ? No idea. I get: system.time(ugarchfit(spec, sp500ret, solver = 'hybrid')) user system elapsed 9.66 0.01 9.67 system.time(ugarchfit(spec, mydata, solver = 'hybrid')) user system elapsed 5.74 0.00 5.73 Make sure you've updated all packages used (rugarch from the google repository). You have also chosen to ignore numerous warnings in previous posts to this forum about using such a small amount of data, and have in addition gone and added a nonlinear GARCH(2,1) model with the sstd distribution. I hope you are not using the results for anything other than filling up empty space on your hard disk. -Alexios On 02/07/2013 21:44, ce wrote:
Hi, I use R 3.0.1, opensuse 12.3 on a sony vaio i3 cpu. When I use sp500ret data (5523 values) coming from rugarch package, ugarchfit performance is acceptable, but my data has only 102 values, why it takes much longer?
R
R version 3.0.1 (2013-05-16) -- "Good Sport" Copyright (C) 2013 The R Foundation for Statistical Computing Platform: x86_64-unknown-linux-gnu (64-bit)
library("rugarch")
Loading required package: Rcpp
Loading required package: RcppArmadillo
Package Rsolnp (1.14) loaded. To cite, see citation("Rsolnp")
KernSmooth 2.23 loaded
Copyright M. P. Wand 1997-2009
data(sp500ret) dim(sp500ret)
[1] 5523 1
spec = ugarchspec(variance.model = list(model = 'fGARCH',submodel = 'NAGARCH', garchOrder = c(2, 1)), distribution = 'sstd') system.time(ugarchfit(spec, sp500ret, solver = 'hybrid'))
user system elapsed 141.562 0.136 142.448
mydata = c(0.082642875,-0.854761542,-0.077033376,0.406766344,-0.158930181,0.221923295,0.142042082,0.197391055,-0.109232737,-0.139228622,-0.121972401,-0.153521155,-0.046589943,-0.145470513,0.219578485,0.043333125,-0.034798222,-0.162685582,-0.053049221,0.207199901,-0.224930862,0.022989518,-0.028370697,0.010733556,0.065427805,-0.065427805,-0.355150941,-0.065554265,0.239806124,-0.054778206,0.203124684,-0.035550984,0.090971778,-0.033601747,0.066111025,0.029852963,0.030573580,-0.060426543,-0.160342650,0.170392986,0.000000000,-0.133531393,0.011363759,0.345311185,-0.057629113,0.083946421,0.165954579,0.038839833,-0.078104552,-0.088468648,0.117783036,0.074901308,0.002059733,0.066658187,0.038702329,0.211970251,0.016345089,-0.076548451,-0.367989997,-0.067762102,-0.016119382,0.148420005,-0.154689618,-0.213753811,-0.117199094,0.019081238,-0.097374164,0.255933374,0.353296810,0.132887519,-0.044246849,0.098646225,0.067682591,-0.066828985,0.241405811,0.032962773,0.067695013,0.050232125,0.09!
2949523,-0.284186788,0.024811748,0.020883211,-0.112795494,0.317639288,0.072787942,0.113058086,0.120935481,0.017040238,-0.011857846,-0.027410019,-0.211765940,-0.054488185,-0.268140917,0.034273403,-0.098347132,0.040078224,-0.010772097,0.000000000,0.000000000,0.000000000,0.000000000,0.537189816)
system.time(ugarchfit(spec, mydata, solver = 'hybrid'))
user system elapsed 367.052 0.298 369.194
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