Hi again,
I am running a TGARCH(1,1) model on a series of adjusted daily stock returns
and get significantly different forecasts when using variance targeting and
when not. However, I feel that the forecast should not be that different.
Could it be that the model is "targeting" the wrong variable (omega instead
of unconditional variance)? Again it could well be a problem with my data or
model, but I do not see anything obviously wrong with either. That's why I'm
attaching the output under both scenarios, as well as my data. The relevant
parts of the code are below. Hopefully you can help. I just don't think that
my long term prediction of sigma should be going to 0...
*Code:*
spec=ugarchspec(variance.model = list(model = "fGARCH", garchOrder = c(1,1),
submodel = "TGARCH", external.regressors =
regressors, variance.targeting = TRUE/FALSE),
mean.model = list (armaOrder = c(3,3), include.mean = mean,
archm = FALSE,
archpow = 1, arfima = FALSE, external.regressors =
NULL, archex = FALSE),
distribution.model = "std", start.pars = list(), fixed.pars
= list())
fit=ugarchfit(spec, data, out.sample = 100, solver = "solnp", solver.control
= list(),
fit.control = list(stationarity = 1, fixed.se = 0, scale =
0))
forecast=ugarchforecast(fit, data = NULL, n.ahead = 100, n.roll = 50,
out.sample = 0,
external.forecasts = list(mregfor = NULL, vregfor = NULL))
boot.pred=ugarchboot(fit, data = NULL, method = "partial", n.ahead = 10,
n.bootfit = 100, n.bootpred = 500, out.sample = 0, rseed =
NA, solver = "solnp",
solver.control = list(), fit.control = list(),
external.forecasts = list(mregfor = NULL, vregfor = NULL),
parallel = FALSE,
parallel.control = list(pkg = c("multicore", "snowfall"),
cores = 2))
P.S. I know that I probably don't need an ARMA(3,3).
*Data + Ouput files:*
http://r.789695.n4.nabble.com/file/n4634631/var.targeting.conditional.forecast.jpeg
var.targeting.conditional.forecast.jpeg
http://r.789695.n4.nabble.com/file/n4634631/var.targeting.bootstrap.output.jpg.jpeg
var.targeting.bootstrap.output.jpg.jpeg
http://r.789695.n4.nabble.com/file/n4634631/no.var_targeting.conditional_forecast.jpeg
no.var_targeting.conditional_forecast.jpeg
http://r.789695.n4.nabble.com/file/n4634631/no.var.targeting.bootstrap.output.jpg
no.var.targeting.bootstrap.output.jpg
http://r.789695.n4.nabble.com/file/n4634631/var.targeting.fit.txt
var.targeting.fit.txt
http://r.789695.n4.nabble.com/file/n4634631/no.var.targeting.fit.txt
no.var.targeting.fit.txt
Thanks,
Stoyan
-----
Stoyan Stoyanov
The University of Chicago Booth School of Business
MBA Class of 2013
(312) 532-0120 | stoyanov at chicagobooth.edu
--
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RUGARCH variance targeting issue
6 messages · stoyan.stoyanov, michael.weylandt at gmail.com (R. Michael Weylandt, Alexios Ghalanos
*Data file:* http://r.789695.n4.nabble.com/file/n4634632/data.csv data.csv ----- Stoyan Stoyanov The University of Chicago Booth School of Business MBA Class of 2013 (312) 532-0120 | stoyanov at chicagobooth.edu -- View this message in context: http://r.789695.n4.nabble.com/RUGARCH-variance-targeting-issue-tp4634631p4634632.html Sent from the Rmetrics mailing list archive at Nabble.com.
Hi Stoyan and thanks for catching another one. Bug quashed (rev.427) You can also submit bug reports directly to the rugarch bug forum list: https://r-forge.r-project.org/forum/forum.php?forum_id=1117 Regards, Alexios PS if you want the unconditional variance this can be correctly recovered by using the "uncvariance" method on the fitted object.
On 27/06/2012 15:50, stoyan.stoyanov wrote:
Hi again,
I am running a TGARCH(1,1) model on a series of adjusted daily stock returns
and get significantly different forecasts when using variance targeting and
when not. However, I feel that the forecast should not be that different.
Could it be that the model is "targeting" the wrong variable (omega instead
of unconditional variance)? Again it could well be a problem with my data or
model, but I do not see anything obviously wrong with either. That's why I'm
attaching the output under both scenarios, as well as my data. The relevant
parts of the code are below. Hopefully you can help. I just don't think that
my long term prediction of sigma should be going to 0...
*Code:*
spec=ugarchspec(variance.model = list(model = "fGARCH", garchOrder = c(1,1),
submodel = "TGARCH", external.regressors =
regressors, variance.targeting = TRUE/FALSE),
mean.model = list (armaOrder = c(3,3), include.mean = mean,
archm = FALSE,
archpow = 1, arfima = FALSE, external.regressors =
NULL, archex = FALSE),
distribution.model = "std", start.pars = list(), fixed.pars
= list())
fit=ugarchfit(spec, data, out.sample = 100, solver = "solnp", solver.control
= list(),
fit.control = list(stationarity = 1, fixed.se = 0, scale =
0))
forecast=ugarchforecast(fit, data = NULL, n.ahead = 100, n.roll = 50,
out.sample = 0,
external.forecasts = list(mregfor = NULL, vregfor = NULL))
boot.pred=ugarchboot(fit, data = NULL, method = "partial", n.ahead = 10,
n.bootfit = 100, n.bootpred = 500, out.sample = 0, rseed =
NA, solver = "solnp",
solver.control = list(), fit.control = list(),
external.forecasts = list(mregfor = NULL, vregfor = NULL),
parallel = FALSE,
parallel.control = list(pkg = c("multicore", "snowfall"),
cores = 2))
P.S. I know that I probably don't need an ARMA(3,3).
*Data + Ouput files:*
http://r.789695.n4.nabble.com/file/n4634631/var.targeting.conditional.forecast.jpeg
var.targeting.conditional.forecast.jpeg
http://r.789695.n4.nabble.com/file/n4634631/var.targeting.bootstrap.output.jpg.jpeg
var.targeting.bootstrap.output.jpg.jpeg
http://r.789695.n4.nabble.com/file/n4634631/no.var_targeting.conditional_forecast.jpeg
no.var_targeting.conditional_forecast.jpeg
http://r.789695.n4.nabble.com/file/n4634631/no.var.targeting.bootstrap.output.jpg
no.var.targeting.bootstrap.output.jpg
http://r.789695.n4.nabble.com/file/n4634631/var.targeting.fit.txt
var.targeting.fit.txt
http://r.789695.n4.nabble.com/file/n4634631/no.var.targeting.fit.txt
no.var.targeting.fit.txt
Thanks,
Stoyan
-----
Stoyan Stoyanov
The University of Chicago Booth School of Business
MBA Class of 2013
(312) 532-0120 | stoyanov at chicagobooth.edu
--
View this message in context: http://r.789695.n4.nabble.com/RUGARCH-variance-targeting-issue-tp4634631.html
Sent from the Rmetrics mailing list archive at Nabble.com.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
No worries. Does this mean that I should just not use variance targeting until the revision is out? I am actually trying to build something quite applied using the package, so I would be very happy if I could get my hands on a recent revision. Is one available anywhere? Thank you, Stoyan ----- Stoyan Stoyanov The University of Chicago Booth School of Business MBA Class of 2013 (312) 532-0120 | stoyanov at chicagobooth.edu -- View this message in context: http://r.789695.n4.nabble.com/RUGARCH-variance-targeting-issue-tp4634631p4634643.html Sent from the Rmetrics mailing list archive at Nabble.com.
It's on R-forge: googling r-forge and rugarch should get you there, but you might need to build from source to get the bleeding edge. It usually takes r-forge about a day to build, but it can be unpredictable. Details in another recent thread on this list. Best, Michael
On Jun 27, 2012, at 10:32 AM, "stoyan.stoyanov" <s.n.stoyanov at gmail.com> wrote:
No worries. Does this mean that I should just not use variance targeting until the revision is out? I am actually trying to build something quite applied using the package, so I would be very happy if I could get my hands on a recent revision. Is one available anywhere? Thank you, Stoyan ----- Stoyan Stoyanov The University of Chicago Booth School of Business MBA Class of 2013 (312) 532-0120 | stoyanov at chicagobooth.edu -- View this message in context: http://r.789695.n4.nabble.com/RUGARCH-variance-targeting-issue-tp4634631p4634643.html Sent from the Rmetrics mailing list archive at Nabble.com.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
You should really be able to checkout the latest version from the svn repository and built it. If you don't know how and are in a hurry, email me off list your O/S and I will send you a pre-built version. -Alexios
On 27/06/2012 16:32, stoyan.stoyanov wrote:
No worries. Does this mean that I should just not use variance targeting until the revision is out? I am actually trying to build something quite applied using the package, so I would be very happy if I could get my hands on a recent revision. Is one available anywhere? Thank you, Stoyan ----- Stoyan Stoyanov The University of Chicago Booth School of Business MBA Class of 2013 (312) 532-0120 | stoyanov at chicagobooth.edu -- View this message in context: http://r.789695.n4.nabble.com/RUGARCH-variance-targeting-issue-tp4634631p4634643.html Sent from the Rmetrics mailing list archive at Nabble.com.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.