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Questions tagged [fgarch]

30 questions
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loop function for ugarchfit function in R

I have time-series data. I have returned the data and got the log returns. I aim to select the best fit ARMA-GARCH model from a list of models. Instead of fitting each model separately, I want to fit these models at once and select the best among…
user9798936
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How to support the convergence of student-t distribution fits (stdFit and sstdFit) from fGarch package in R?

I want to fit a student-t and a skewed student-t distribution to log returns. For this purpose I use the stdFit and sstdFit function from the fGarch package (would also use something else if someone knows a better option for both distributions). My…
smaica
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What GARCH model do I use for relative spread series?

I have tried multiple GARCH model variations to remove financial time series characteristics from my dataset. I mainly tried ARMA(1,1),sGARCH models with normal distribution. My standardized residuals and squared standardized residuals don't show…
ameliedc
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Garchfit in R called from Julia: Multivariate data inputs require lhs for the formula

I'm trying to call the R function garchFit from Julia using Rcall. When I do things directly in R, all is well: the following works library("fGarch") library("rugarch") spxData <- read.csv(file = 'SPXlogreturns.csv') y = spxData$y …
David Murphy
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How do estimate GARCH-M in state space form in R or Python language?

I need to estimate GARCH-M in state space form to find time varying risk aversion. The model is this: Where r is the return of any asset.      I tried to estimate this model in Eviews, using Kalman filter, for the return of any asset, but the…
Alien
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R Output of fGarch

I am modelling a time series as a GARCH(1,1)-process: And the z_t are t-distributed. In R, I do this in the fGarch-package via model <- garchFit(formula = ~garch(1,1), cond.dist = "std", data=r) Is this correct? Now, I would like to understand the…
Claudio Moneo
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R garch libraries and Duan (1995) model

I want to replicate the paper of Duan (1995) "The GARCH option pricing model" (DOI: doi.org/10.1111/j.1467-9965.1995.tb00099.x) Do you know if there is any way to use rugarch library , or any other library, to run the model as stated in the paper?…
Arg
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Warning message in applying fGarch package for fitting a simple GARCH model

I tried to fit a simple GARCH model for following data set(which contains weekly prices of a agricultural commodity) using fGarch package. But, after every other variant of model, r gives following error message, implying the function is not running…
Jayamini
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How to implement Girardi & Ergun's (2013) three-step multivariate GARCH estimation of CoVaR in R?

I'm trying to calculate multivariate GARCH estimation of conditional value-at-risk, by adopting a three-step model from Girardi & Ergun (2013) paper entitled "Systemic risk measurement: Multivariate GARCH estimation of CoVaR". I'm using R and up…
Restu
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How to realize AR-GARCH model with Gram-Charlier distribution in R

I want to use the AR(1)-GARCH(1,1) model where the innovation term is Gram-Charlier distribution; This distribution is based on the standard normal distribution, u(z) The software I use is R, but the parameters of the functions in the rugarch…
Tako
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How can I check the pdf formula of function rged in r programming？

I am using the built in function in R, rged to generate ged data. but how can i know what pdf formula are used in it and also the default mean and variance in general? Tried to check on the fgarch package rdocumentation, but did not find anything…
HdbE
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How can I calculate time-varying Value at Risk (VaR) and Conditional VaR for return series in R?

In this time series data, I calculated the return values and the goal is to estimate a GARCH(1,1) to the return values and obtain the estimated parameters. The return data is as below: daily_xts <- c( NA, -0.362483397298163, 0.971212570135149,…
Afshin
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Is it possible to have more than one external regressors when using ugarchspec?

I am using the rugarch package to forecast stock volatility. I want to add an external regressor and lagged versions of it if possible. The external.regressors element requires the input to be in a matrix and if I added a lagged variable it would…
a_ssis
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Accessing and storing p-values from GARCH Model Fit output to assess the fit of my estimated models

I have this loop. with_progress({ # Initialize the progress bar pb <- progressor(along = unique(pct_women_exec$ticker)) # Precompute unique tickers unique_tickers <- unique(pct_women_exec$ticker) # Use lapply to fit models for…
Patrik Jørgensen
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Failure getting mean model in ugarch framework to converge to a solution using default option

with_progress({ # Initialize the progress bar pb <- progressor(along = unique(pct_women_exec$ticker)) # Precompute unique tickers unique_tickers <- unique(pct_women_exec$ticker) # Use lapply to fit models for each ticker fitted_models <-…
Patrik Jørgensen
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