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rugarch package
2 messages · Gmail, Alexios Ghalanos
Hi Jun,
This is likely related to the time format of the data you are passing to
the ugarchfit function ('data' argument). Ideally it should be an xts
object, with a POSIXct (or Date) index, and you have also set your
timezone (e.g. Sys.setenv(TZ="GMT") ).
You should really take some time to familiarize yourself with R's
Date/Time functions and the xts package (it will payoff in the long run,
IMHO).
Best,
Alexios
On 23/06/2013 17:38, jun wang wrote:
Hi, Alexios,
I am using the rugarch package to get the conditional variance of the
uni variate garch model. But the result i got seems a little weird, see
below:
uspec = ugarchspec(mean.model = list(armaOrder = c(0,0),include.mean=TRUE),
variance.model = list(garchOrder = c(1,1), model =
"sGARCH"),
distribution.model = "ghyp")
fit1=ugarchfit(uspec,data=jpm)
fit2=ugarchfit(uspec,data=sp500)
a=sigma(fit1)
b=sigma(fit2)
H=cbind(1/a,1/b)
In the matrix H, i had the following format:
1970-01-01 19:00:00 0.10648731 0.004840093
1970-01-02 19:00:00 0.13220160 0.003223305
Any way to get rid of 1970-01-01 19:00:00?
Many thanks!!!
Jun