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
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
_______________________________________________
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.

Yes it is slow because the fractional parameter is estimated by ML using 
a truncation lag of about 1000 (there are quicker methods but this is 
the method used by rugarch for the joint ARFIMA-GARCH estimation...and 
it just carries over to the
ARFIMA-non GARCH model). The autoarfima function provides the option of
passing a cluster object (from the parallel package) in order to 
evaluate the models in parallel (but you probably already knew this as 
it is documented).

-Alexios
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,-0.066828985,0.241405811,0.032962773,0.067695013,0.050232125,0.09294952
3,-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
_______________________________________________
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.