Hi,
it is a bug and it has already been solved in the development version of
fGarch. Rmetrics development web is at:
http://r-forge.r-project.org/projects/rmetrics
where you can find the latest versions of all packages. Download the zipped
Windows binaries and install them in the following order:
fUtilities, fEcofin, fCalendar, fSeries, fImport, fBasics, fBonds, fArma,
fGarch, fTrading, fExtremes, fNonlinear, fOptions, fAsianOptions,
fExoticOptions, fUnitRoots, fMultivar, fCopulae, fRegression, fAssets,
fPortfolio, Rmetrics
and the estimation should work fine.
Best regards,
Michal
----- Original Message ----
From: John Frain <frainj at tcd.ie>
To: R-SIG-Finance mailing list <r-sig-finance at stat.math.ethz.ch>
Sent: Thursday, May 1, 2008 11:23:47 PM
Subject: [R-SIG-Finance] Estimating the T-S Garch model
I am trying to estimate a T-S Garch model with the following code -
library(fGarch)
myFinCenter = "GMT"
dframe=read.csv(file="loss.csv")
dframe[1:5,]
loss=as.timeSeries(dframe)
head(loss)
tail(loss)
fit = garchFit(formula = ~ aparch(1,1), data=loss at Data, delta=1.0,
include.delta=FALSE,trace=FALSE)
summary(fit)
fit2 = garchFit(formula = ~ aparch(1,1), data=loss at Data, delta=1.0,
include.delta=FALSE,leverage=FALSE)
Output is at the end of the email. I can estimate a model with
nonzero leverage (gamma1 non-zero) but I have problems when I try to
force gamma1 to be zero. (See message at end of output. Is there a
problem or have I not understood something.
I am using Windows XP, R 2.7.0 and fGarch 260.72. The data-set
loss.csv is attached.
--
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.htm
mailto:frainj at tcd.ie
mailto:frainj at gmail.com
############## OUTPUT ##############################
library(fGarch)
myFinCenter = "GMT"
dframe=read.csv(file="loss.csv")
dframe[1:5,]
X loss
1 1988-01-05 -3.2854337
2 1988-01-06 -2.6706190
3 1988-01-07 0.3662351
4 1988-01-08 -1.8030495
5 1988-01-11 1.1893279
loss=as.timeSeries(dframe)
head(loss)
TS.1
1988-01-05 -3.2854337
1988-01-06 -2.6706190
1988-01-07 0.3662351
1988-01-08 -1.8030495
1988-01-11 1.1893279
1988-01-12 -0.1981119
TS.1
2008-01-24 -4.8668943
2008-01-25 0.7808780
2008-01-28 1.7767990
2008-01-29 -1.1739951
2008-01-30 -0.5321964
2008-01-31 1.3622478
fit = garchFit(formula = ~ aparch(1,1), data=loss at Data, delta=1.0,
include.delta=FALSE,trace=FALSE)
Title:
GARCH Modelling
Call:
garchFit(formula = ~aparch(1, 1), data = loss at Data, delta = 1,
include.delta = FALSE, trace = FALSE)
Mean and Variance Equation:
~arma(0, 0) + ~aparch(1, 1)
Conditional Distribution:
dnorm
Coefficient(s):
mu omega alpha1 gamma1 beta1
-0.0624601 0.0274496 0.0816745 -0.3396468 0.9100114
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu -0.062460 0.011934 -5.234 1.66e-07 ***
omega 0.027450 0.005269 5.210 1.89e-07 ***
alpha1 0.081675 0.009555 8.548 < 2e-16 ***
gamma1 -0.339647 0.047851 -7.098 1.27e-12 ***
beta1 0.910011 0.011797 77.139 < 2e-16 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Log Likelihood:
6630.546 normalized: 1.316368
Standadized Residuals Tests:
Statistic p-Value
Jarque-Bera Test R Chi^2 5720.432 0
Shapiro-Wilk Test R W NA NA
Ljung-Box Test R Q(10) 102.3393 0
Ljung-Box Test R Q(15) 108.0036 4.440892e-16
Ljung-Box Test R Q(20) 118.3874 5.551115e-16
Ljung-Box Test R^2 Q(10) 80.30754 4.369838e-13
Ljung-Box Test R^2 Q(15) 86.34728 4.738099e-12
Ljung-Box Test R^2 Q(20) 88.63123 1.28495e-10
LM Arch Test R TR^2 66.55288 1.405827e-09
Information Criterion Statistics:
AIC BIC SIC HQIC
-2.630751 -2.624274 -2.630753 -2.628482
Description:
Thu May 01 20:58:17 2008 by user: John C Frain
fit = garchFit(formula = ~ aparch(1,1), data=loss at Data, delta=1.0,
include.delta=FALSE,leverage=FALSE)
Series Initialization:
ARMA model: arma
Formula mean: ~ arma(0, 0)
GARCH model: aparch
Formula var: ~ aparch(1, 1)
ARMA Order: 0 0
Max ARMA Order: 0
GARCH Order: 1 1
Max GARCH Order: 1
Maximum Order: 1
h.start: 2
llh.start: 1
Length of Series: 5037
Recursion Init: mci
Series Scale: 1.000351
Parameter Initialization:
Initial Parameters: $params
Limits of Transformations: $U, $V
Which Parameters are Fixed? $includes
Parameter Matrix:
U V params includes
mu -4.830854e-01 0.4830854 -0.04830854 TRUE
omega 1.000703e-06 100.0703024 0.10007030 TRUE
alpha1 1.000000e-08 1.0000000 0.10000000 TRUE
gamma1 -1.000000e+00 1.0000000 0.10000000 FALSE
beta1 1.000000e-08 1.0000000 0.80000000 TRUE
delta 0.000000e+00 2.0000000 1.00000000 FALSE
skew 1.000000e-01 10.0000000 1.00000000 FALSE
shape 1.000000e+00 20.0000000 4.00000000 FALSE
Index List of Parameters to be Optimized:
mu omega alpha1 beta1
1 2 3 5
Persistence: 0.8797885
Iteration Path:
Now NLMINB
Error in gamma[i] : object is not subsettable