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FROM DISCRETE TO CONTINUOUS GARCH VOLATILITY MODELLING WITH R

 
 

 

To cite this work (Çalýþmaya atýfta bulunmak için)                                                                     

ARI, Y. (2020). FROM DISCRETE TO CONTINUOUS GARCH VOLATILITY MODELLING WITH R. Available at https://math-stat.net/garch-and-cogarch-modelling.htm        

Download this work as pdf file

 

FROM DISCRETE TO CONTINUOUS GARCH VOLATILITY MODELLING WITH R

 

Yakup ARI, PhD

Department of Economics

Alanya Alaaddin Keykubat University, Turkey

https://orcid.org/0000-0002-5666-5365

yakup.ari@alanya.edu.tr

 

 

Abstract

The aim of this study is to arrange the R codes that facilitate the comparison of  the simple GARCH model and its extensions. The outputs of each discrete GARCH model are prepared as matrices. In addition, continuous GARCH model codes are also given. For this purpose, data of the Bitcoin and US dollar exchange rate were used.The Bitcoin versus USD exchange rate (BTC-USD) data is downloaded from “finance.yahoo.com” via “quantmod” package (Ryan et al., 2018) in R. The discrete GARCH family models and COGARCH model are fitted to log-returns of the BTC-USD of using the “rugarch” package (Ghalanos, 2020a, 2020b) and later a COGARCH(1,1) by R package “yuima” by Iacus et al. (2017, 2018).

Keywords: GARCH Comparison, COGARCH, R Project, rugarch, yuima

 

Some References

 

Ghalanos A. (2020a). rugarch:Univariate GARCH models.R package version 1.4-2. Available at:

https://cran.r-project.org/web/packages/rugarch/rugarch.pdf

 

Ghalanos A. (2020b). Introduction to the rugarch package.Technical Report Available at:

https://cran.r-project.org/web/packages/rugarch/vignettes/ Introduction_to_the_rugarch_package. pdf

 

Ryan, J.A. and Ulrich, J. M.  (2018). quantmod: Quantitative Financial Modelling Framework.

R package version 0.4-13.https://CRAN.R-project.org/package=quantmod

 

Iacus SM, Mercuri L, Rroji E (2017). “COGARCH$(p, q)$: Simulation and Inference with the yuima Package.” Journal of Statistical Software,80(4), 1–49. doi: 10.18637/jss.v080.i04.

 

Iacus S. M. &Yoshida N. (2018). “Simulation and Inference for Stochastic Processes with YUIMA: A Comprehensive R Framework for SDEs and other Stochastic Processes”, Springer International Publishing, pp. 254-256.

 

 

 

##################### part1- LIBRARIES ####################

 

install.packages("MCMCpack"); install.packages("rugarch"); install.packages("fGarch"); install.packages("tseries"); install.packages("aTSA"); install.packages("yuima"); install.packages("quantmod"); install.packages("pdfetch"); install.packages("xts"); install.packages("zoo"); install.packages("dLagM"); install.packages("xlsx"); install.packages("dynamac"); install.packages("nardl"); install.packages("pastecs"); install.packages("psych"); install.packages("markdown"); install.packages("evaluate"); install.packages("highr"); install.packages("yaml"); install.packages("htmltools"); install.packages("knitr"); install.packages("base64enc"); install.packages("rmarkdown")

 

library(MCMCpack); library(rugarch); library(fGarch); library(tseries); library(aTSA); library(yuima); library(quantmod); library(pdfetch); library(xts); library(zoo); library(dLagM); library(xlsx); library(dynamac); library(nardl); library(pastecs); library(psych); library(markdown); library(evaluate); library(highr); library(yaml); library(htmltools); library(knitr); library(base64enc); library(rmarkdown)

 

######################################################

##################### PART 2 - DATA ####################

#part 2.1 upload data by quantmod from yahoo-finance

 

getSymbols("BTC-USD", from="2015-01-01", to="2020-05-01")

data1<-`BTC-USD`$`BTC-USD.Close`

data2<-log(`BTC-USD`$`BTC-USD.Volume`)

 

#merging and omitting the na values

 

md<-merge(data1,data2)

na.md<-na.omit(md)

 

# part 2.2 calculating log-returns

S<-na.md$BTC.USD.Close

X <- na.omit(diff(log(S)))

mX <- mean(X)

X <- X - mX

 

# part 2.3 descriptive stats and plots

stat.desc(S); describe(S); stat.desc(X); describe(X); length(X)

 

#Set your language

Sys.setlocale("LC_TIME", "English")

 

par(mfrow=c(2,1))

plot(X, main="Log-Return of BTC-USD")

plot(data2,main="Log of data2" )

 

 

 

##############################################################

############ PART 3 -  STATIONARITY and ARCH EFFECT ###############

#unit root tests ADF and PP for USD

 

adft.out = adf.test(X)

ppt.out = pp.test(X)

kpss.out = kpss.out(X)

 

mod<-estimate(X,p=0)

mod<-arima(X)

arch.test.out<-arch.test(mod)

arch.test.out

 

ljung.box.test.out<-Box.test (X, lag = 12, type = "Ljung")

ljung.box.test.out

garch.data = X

 

########################################################

##################### PART 4 -  GARCH FAMILY ############

#conditional variance model with rugarch package

#Valid choices are “norm”, “snorm”, “std”, “sstd”, “ged”,“sged”, “nig”, “jsu”Johnson’s SU distribution.

#Usage

#ugarchspec(variance.model = list(model = "csGARCH", garchOrder = c(1, 1),

#submodel = NULL, external.regressors = NULL, variance.targeting = FALSE),

#mean.model = list(armaOrder = c(1, 1), include.mean = TRUE, archm = FALSE,

#archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE),

#distribution.model = "norm", start.pars = list(), fixed.pars = list(), ...)

 

 

##################### PART 4.1 -  GARCH ################

# norm 1GARCH

spec.garch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GARCH"),

                                distribution.model = "norm")

 

fit.garch.norm.11 = ugarchfit(spec.garch.norm.11, data = garch.data)

 

 

# snorm 1GARCH

spec.garch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GARCH"),

                                 distribution.model = "snorm")

fit.garch.snorm.11 = ugarchfit(spec.garch.snorm.11, data = garch.data)

 

# std 1GARCH

spec.garch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                               variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GARCH"),

                               distribution.model = "std")

fit.garch.std.11 = ugarchfit(spec.garch.std.11, data = garch.data)

 

# sstd 1GARCH

spec.garch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GARCH"),

                                distribution.model = "sstd")

fit.garch.sstd.11 = ugarchfit(spec.garch.sstd.11, data = garch.data)

 

# ged 1GARCH

spec.garch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                               variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GARCH"),

                               distribution.model = "ged")

fit.garch.ged.11 = ugarchfit(spec.garch.ged.11, data = garch.data)

 

# sged 1GARCH

spec.garch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GARCH"),

                                distribution.model = "sged")

fit.garch.sged.11 = ugarchfit(spec.garch.sged.11, data = garch.data)

 

# nig 1GARCH

spec.garch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                               variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GARCH"),

                               distribution.model = "nig")

fit.garch.nig.11 = ugarchfit(spec.garch.nig.11, data = garch.data)

 

# jsu 1GARCH

spec.garch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                               variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GARCH"),

                               distribution.model = "jsu")

fit.garch.jsu.11 = ugarchfit(spec.garch.jsu.11, data = garch.data)


 

 

######################## PART 4.2 -  eGARCH ######################

#1 norm 2eGARCH

spec.egarch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "eGARCH",garchOrder = c(1, 1)), 

                                 distribution.model = "norm")

 

fit.egarch.norm.11 = ugarchfit(spec.egarch.norm.11, data = garch.data)

 

#2 snorm 2eGARCH

spec.egarch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "eGARCH",garchOrder = c(1, 1)), 

                                  distribution.model = "snorm")

 

fit.egarch.snorm.11 = ugarchfit(spec.egarch.snorm.11, data = garch.data)

 

#3 std 2eGARCH

spec.egarch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "eGARCH",garchOrder = c(1, 1)), 

                                distribution.model = "std")

 

fit.egarch.std.11 = ugarchfit(spec.egarch.std.11, data = garch.data)

 

#4 sstd 2eGARCH

spec.egarch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "eGARCH",garchOrder = c(1, 1)), 

                                 distribution.model = "sstd")

 

 

fit.egarch.sstd.11 = ugarchfit(spec.egarch.sstd.11, data = garch.data)

 

#5 ged 2eGARCH

spec.egarch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "eGARCH",garchOrder = c(1, 1)), 

                                distribution.model = "ged")

 

fit.egarch.ged.11 = ugarchfit(spec.egarch.ged.11, data = garch.data)

 

#6 sged 2eGARCH

spec.egarch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "eGARCH",garchOrder = c(1, 1)), 

                                 distribution.model = "sged")

 

fit.egarch.sged.11 = ugarchfit(spec.egarch.sged.11, data = garch.data)

 

#7 nig 2eGARCH

spec.egarch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "eGARCH",garchOrder = c(1, 1)), 

                                distribution.model = "nig")

 

 

fit.egarch.nig.11 = ugarchfit(spec.egarch.nig.11, data = garch.data)

 

 

#8 jsu 2eGARCH

spec.egarch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "eGARCH",garchOrder = c(1, 1)), 

                                distribution.model = "jsu")

 

fit.egarch.jsu.11 = ugarchfit(spec.egarch.jsu.11, data = garch.data)

 


 

 

######################## PART 4.3 -  avGARCH #####################

#1 norm 3AVGARCH

spec.avgarch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "AVGARCH"),

                                  distribution.model = "norm")

 

fit.avgarch.norm.11 = ugarchfit(spec.avgarch.norm.11, data = garch.data)

 

 

#2 snorm 3AVGARCH

spec.avgarch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                   variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "AVGARCH"),

                                   distribution.model = "snorm")

 

fit.avgarch.snorm.11 = ugarchfit(spec.avgarch.snorm.11, data = garch.data)

 

 

 

#3 std 3AVGARCH

spec.avgarch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "AVGARCH"),

                                 distribution.model = "std")

 

fit.avgarch.std.11 = ugarchfit(spec.avgarch.std.11, data = garch.data)

 

 

#4 sstd 3AVGARCH

spec.avgarch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "AVGARCH"),

                                  distribution.model = "sstd")

 

 

fit.avgarch.sstd.11 = ugarchfit(spec.avgarch.sstd.11, data = garch.data)

 

#5 ged 3AVGARCH

spec.avgarch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "AVGARCH"),

                                 distribution.model = "ged")

 

fit.avgarch.ged.11 = ugarchfit(spec.avgarch.ged.11, data = garch.data)

 

 

 

#6 sged 3AVGARCH

spec.avgarch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "AVGARCH"),

                                  distribution.model = "sged")

 

fit.avgarch.sged.11 = ugarchfit(spec.avgarch.sged.11, data = garch.data)

 

 

#7 nig 3AVGARCH

spec.avgarch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "AVGARCH"),

                                 distribution.model = "nig")

 

 

fit.avgarch.nig.11 = ugarchfit(spec.avgarch.nig.11, data = garch.data)

 

#8 jsu 3AVGARCH

spec.avgarch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "AVGARCH"),

                                 distribution.model = "jsu")

 

fit.avgarch.jsu.11 = ugarchfit(spec.avgarch.jsu.11, data = garch.data)

 

 


 

 

######################## PART 4.4 -  gjrGARCH ####################

#1 norm 4gjrGARCH

spec.gjrgarch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                   variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GJRGARCH"),

                                   distribution.model = "norm")

 

fit.gjrgarch.norm.11 = ugarchfit(spec.gjrgarch.norm.11, data = garch.data)

 

 

#2 snorm 4gjrGARCH

spec.gjrgarch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                    variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GJRGARCH"),

                                    distribution.model = "snorm")

 

fit.gjrgarch.snorm.11 = ugarchfit(spec.gjrgarch.snorm.11, data = garch.data)

 

#3 std 4gjrGARCH

spec.gjrgarch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GJRGARCH"),

                                  distribution.model = "std")

 

fit.gjrgarch.std.11 = ugarchfit(spec.gjrgarch.std.11, data = garch.data)

 

 

#4 sstd 4gjrGARCH

spec.gjrgarch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                   variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GJRGARCH"),

                                   distribution.model = "sstd")

 

 

fit.gjrgarch.sstd.11 = ugarchfit(spec.gjrgarch.sstd.11, data = garch.data)

 

#5 ged 4gjrGARCH

spec.gjrgarch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GJRGARCH"),

                                  distribution.model = "ged")

 

fit.gjrgarch.ged.11 = ugarchfit(spec.gjrgarch.ged.11, data = garch.data)

 

 

 

 

#6 sged 4gjrGARCH

spec.gjrgarch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                   variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GJRGARCH"),

                                   distribution.model = "sged")

 

fit.gjrgarch.sged.11 = ugarchfit(spec.gjrgarch.sged.11, data = garch.data)

 

 

#7 nig 4gjrGARCH

spec.gjrgarch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GJRGARCH"),

                                  distribution.model = "nig")

 

 

fit.gjrgarch.nig.11 = ugarchfit(spec.gjrgarch.nig.11, data = garch.data)

 

#8 jsu 4gjrGARCH

spec.gjrgarch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "GJRGARCH"),

                                  distribution.model = "jsu")

 

fit.gjrgarch.jsu.11 = ugarchfit(spec.gjrgarch.jsu.11, data = garch.data)

 


 

 

######################## PART 4.5 -  iGARCH ######################

#1 norm 5iGARCH

spec.igarch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "iGARCH",garchOrder = c(1, 1)),

                                 distribution.model = "norm")

 

fit.igarch.norm.11 = ugarchfit(spec.igarch.norm.11, data = garch.data)

 

 

#2 snorm 5iGARCH

spec.igarch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "iGARCH",garchOrder = c(1, 1)),

                                  distribution.model = "snorm")

 

fit.igarch.snorm.11 = ugarchfit(spec.igarch.snorm.11, data = garch.data)

 

 

#3 std 5iGARCH

spec.igarch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "iGARCH",garchOrder = c(1, 1)),

                                distribution.model = "std")

 

fit.igarch.std.11 = ugarchfit(spec.igarch.std.11, data = garch.data)

 

 

#4 sstd 5iGARCH

spec.igarch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "iGARCH",garchOrder = c(1, 1)),

                                 distribution.model = "sstd")

 

 

fit.igarch.sstd.11 = ugarchfit(spec.igarch.sstd.11, data = garch.data)

 

 

#5 ged 5iGARCH

spec.igarch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "iGARCH",garchOrder = c(1, 1)),

                                distribution.model = "ged")

 

fit.igarch.ged.11 = ugarchfit(spec.igarch.ged.11, data = garch.data)

 

#6 sged 5iGARCH

spec.igarch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "iGARCH",garchOrder = c(1, 1)),

                                 distribution.model = "sged")

 

fit.igarch.sged.11 = ugarchfit(spec.igarch.sged.11, data = garch.data)

 

#7 nig 5iGARCH

spec.igarch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "iGARCH",garchOrder = c(1, 1)),

                                distribution.model = "nig")

 

 

fit.igarch.nig.11 = ugarchfit(spec.igarch.nig.11, data = garch.data)

 

 

 

#8 jsu 5iGARCH

spec.igarch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "iGARCH",garchOrder = c(1, 1)),

                                distribution.model = "jsu")

 

fit.igarch.jsu.11 = ugarchfit(spec.igarch.jsu.11, data = garch.data)

 

 


 

 

######################## PART 4.6 -  csGARCH ######################

#1 norm 6csGARCH

spec.csgarch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "csGARCH",garchOrder = c(1, 1)),

                                  distribution.model = "norm")

 

fit.csgarch.norm.11 = ugarchfit(spec.csgarch.norm.11, data = garch.data)

 

#2 snorm 6csGARCH

spec.csgarch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                   variance.model = list(model = "csGARCH",garchOrder = c(1, 1)),

                                   distribution.model = "snorm")

 

fit.csgarch.snorm.11 = ugarchfit(spec.csgarch.snorm.11, data = garch.data)

 

#3 std 6csGARCH

spec.csgarch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "csGARCH",garchOrder = c(1, 1)),

                                 distribution.model = "std")

 

fit.csgarch.std.11 = ugarchfit(spec.csgarch.std.11, data = garch.data)

 

#4 sstd 6csGARCH

spec.csgarch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "csGARCH",garchOrder = c(1, 1)),

                                  distribution.model = "sstd")

 

fit.csgarch.sstd.11 = ugarchfit(spec.csgarch.sstd.11, data = garch.data)

 

#5 ged 6csGARCH

spec.csgarch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "csGARCH",garchOrder = c(1, 1)),

                                 distribution.model = "ged")

 

fit.csgarch.ged.11 = ugarchfit(spec.csgarch.ged.11, data = garch.data)

 

#6 sged 6csGARCH

spec.csgarch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "csGARCH",garchOrder = c(1, 1)),

                                  distribution.model = "sged")

 

fit.csgarch.sged.11 = ugarchfit(spec.csgarch.sged.11, data = garch.data)

 

#7 nig 6csGARCH

spec.csgarch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "csGARCH",garchOrder = c(1, 1)),

                                 distribution.model = "nig")

 

fit.csgarch.nig.11 = ugarchfit(spec.csgarch.nig.11, data = garch.data)

 

#8 jsu 6csGARCH

spec.csgarch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "csGARCH",garchOrder = c(1, 1)),

                                 distribution.model = "jsu")

 

fit.csgarch.jsu.11 = ugarchfit(spec.csgarch.jsu.11, data = garch.data)

 


 

 

######################## PART 4.7 -  tGARCH ######################

#1 norm 7tGARCH

spec.tgarch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "TGARCH"),

                                 distribution.model = "norm")

 

fit.tgarch.norm.11 = ugarchfit(spec.tgarch.norm.11, data = garch.data)

 

 

#2 snorm 7tGARCH

spec.tgarch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "TGARCH"),

                                  distribution.model = "snorm")

 

fit.tgarch.snorm.11 = ugarchfit(spec.tgarch.snorm.11, data = garch.data)

 

#3 std 7tGARCH

spec.tgarch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "TGARCH"),

                                distribution.model = "std")

 

fit.tgarch.std.11 = ugarchfit(spec.tgarch.std.11, data = garch.data)

 

 

#4 sstd 7tGARCH

spec.tgarch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "TGARCH"),

                                 distribution.model = "sstd")

 

 

fit.tgarch.sstd.11 = ugarchfit(spec.tgarch.sstd.11, data = garch.data)

 

#5 ged 7tGARCH

spec.tgarch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "TGARCH"),

                                distribution.model = "ged")

 

fit.tgarch.ged.11 = ugarchfit(spec.tgarch.ged.11, data = garch.data)

 

 

 

 

#6 sged 7tGARCH

spec.tgarch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "TGARCH"),

                                 distribution.model = "sged")

 

fit.tgarch.sged.11 = ugarchfit(spec.tgarch.sged.11, data = garch.data)

 

#7 nig 7tGARCH

spec.tgarch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "TGARCH"),

                                distribution.model = "nig")

 

fit.tgarch.nig.11 = ugarchfit(spec.tgarch.nig.11, data = garch.data)

 

 

#8 jsu 7tGARCH

spec.tgarch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "TGARCH"),

                                distribution.model = "jsu")

 

fit.tgarch.jsu.11 = ugarchfit(spec.tgarch.jsu.11, data = garch.data)

 


 

 

######################## PART 4.8 -  APARCH ######################

#1 norm 8APARCH

spec.aparch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "APARCH"),

                                 distribution.model = "norm")

 

fit.aparch.norm.11 = ugarchfit(spec.aparch.norm.11, data = garch.data)

 

 

#2 snorm 8APARCH

spec.aparch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "APARCH"),

                                  distribution.model = "snorm")

 

fit.aparch.snorm.11 = ugarchfit(spec.aparch.snorm.11, data = garch.data)

 

 

 

#3 std 8APARCH

spec.aparch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "APARCH"),

                                distribution.model = "std")

 

fit.aparch.std.11 = ugarchfit(spec.aparch.std.11, data = garch.data)

 

 

#4 sstd 8APARCH

spec.aparch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "APARCH"),

                                 distribution.model = "sstd")

 

 

fit.aparch.sstd.11 = ugarchfit(spec.aparch.sstd.11, data = garch.data)

 

#5 ged 8APARCH

spec.aparch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "APARCH"),

                                distribution.model = "ged")

 

fit.aparch.ged.11 = ugarchfit(spec.aparch.ged.11, data = garch.data)

 

 

 

 

#6 sged 8APARCH

spec.aparch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "APARCH"),

                                 distribution.model = "sged")

 

fit.aparch.sged.11 = ugarchfit(spec.aparch.sged.11, data = garch.data)

 

#7 nig 8APARCH

spec.aparch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "APARCH"),

                                distribution.model = "nig")

 

 

fit.aparch.nig.11 = ugarchfit(spec.aparch.nig.11, data = garch.data)

 

 

 

#8 jsu 8APARCH

spec.aparch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "APARCH"),

                                distribution.model = "jsu")

 

fit.aparch.jsu.11 = ugarchfit(spec.aparch.jsu.11, data = garch.data)

 


 

 

######################## PART 4.9  ALLGARCH ######################

#1 norm 9ALL-GARCH

spec.allgarch.norm.11= ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "ALLGARCH"),

                                  distribution.model = "norm")

 

fit.allgarch.norm.11= ugarchfit(spec.allgarch.norm.11, data = garch.data)

 

 

#2 snorm 9ALL-GARCH

spec.allgarch.snorm.11= ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                   variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "ALLGARCH"),

                                   distribution.model = "snorm")

 

fit.allgarch.snorm.11= ugarchfit(spec.allgarch.snorm.11, data = garch.data)

 

 

 

#3 std 9ALL-GARCH

spec.allgarch.std.11= ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "ALLGARCH"),

                                 distribution.model = "std")

 

fit.allgarch.std.11= ugarchfit(spec.allgarch.std.11, data = garch.data)

 

 

#4 sstd 9ALL-GARCH

spec.allgarch.sstd.11= ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "ALLGARCH"),

                                  distribution.model = "sstd")

 

 

fit.allgarch.sstd.11= ugarchfit(spec.allgarch.sstd.11, data = garch.data)

 

 

#5 ged 9ALL-GARCH

spec.allgarch.ged.11= ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "ALLGARCH"),

                                 distribution.model = "ged")

 

fit.allgarch.ged.11= ugarchfit(spec.allgarch.ged.11, data = garch.data)

 

 

 

 

#6 sged 9ALL-GARCH

spec.allgarch.sged.11= ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "ALLGARCH"),

                                  distribution.model = "sged")

 

fit.allgarch.sged.11= ugarchfit(spec.allgarch.sged.11, data = garch.data)

 

 

#7 nig 9ALL-GARCH

spec.allgarch.nig.11= ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "ALLGARCH"),

                                 distribution.model = "nig")

 

fit.allgarch.nig.11= ugarchfit(spec.allgarch.nig.11, data = garch.data)

 

 

#8 jsu 9ALL-GARCH

spec.allgarch.jsu.11= ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "ALLGARCH"),

                                 distribution.model = "jsu")

 

fit.allgarch.jsu.11= ugarchfit(spec.allgarch.jsu.11, data = garch.data)

 


 

 

######################## PART 4.10 NGARCH######################

#1 norm 10NGARCH

spec.ngarch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NGARCH"),

                                 distribution.model = "norm")

 

fit.ngarch.norm.11 = ugarchfit(spec.ngarch.norm.11, data = garch.data)

 

 

#2 snorm 10NGARCH

spec.ngarch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NGARCH"),

                                  distribution.model = "snorm")

 

fit.ngarch.snorm.11 = ugarchfit(spec.ngarch.snorm.11, data = garch.data)

 

#3 std 10NGARCH

spec.ngarch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NGARCH"),

                                distribution.model = "std")

 

fit.ngarch.std.11 = ugarchfit(spec.ngarch.std.11, data = garch.data)

 

 

#4 sstd 10NGARCH

spec.ngarch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NGARCH"),

                                 distribution.model = "sstd")

 

 

fit.ngarch.sstd.11 = ugarchfit(spec.ngarch.sstd.11, data = garch.data)

 

#5 ged 10NGARCH

spec.ngarch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NGARCH"),

                                distribution.model = "ged")

 

fit.ngarch.ged.11 = ugarchfit(spec.ngarch.ged.11, data = garch.data)

 

 

 

 

#6 sged 10NGARCH

spec.ngarch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NGARCH"),

                                 distribution.model = "sged")

 

fit.ngarch.sged.11 = ugarchfit(spec.ngarch.sged.11, data = garch.data)

 

 

#7 nig 10NGARCH

spec.ngarch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NGARCH"),

                                distribution.model = "nig")

 

 

fit.ngarch.nig.11 = ugarchfit(spec.ngarch.nig.11, data = garch.data)

 

#8 jsu 10NGARCH

spec.ngarch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NGARCH"),

                                distribution.model = "jsu")

 

fit.ngarch.jsu.11 = ugarchfit(spec.ngarch.jsu.11, data = garch.data)

 


 

 

######################## PART 4.11 NAGARCH ######################

 

#1 norm 10nagarch

spec.nagarch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NAGARCH"),

                                  distribution.model = "norm")

 

fit.nagarch.norm.11 = ugarchfit(spec.nagarch.norm.11, data = garch.data)

 

#2 snorm 10nagarch

spec.nagarch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                   variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NAGARCH"),

                                   distribution.model = "snorm")

 

fit.nagarch.snorm.11 = ugarchfit(spec.nagarch.snorm.11, data = garch.data)

 

#3 std 10nagarch

spec.nagarch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NAGARCH"),

                                 distribution.model = "std")

 

fit.nagarch.std.11 = ugarchfit(spec.nagarch.std.11, data = garch.data)

 

 

#4 sstd 10nagarch

spec.nagarch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NAGARCH"),

                                  distribution.model = "sstd")

 

 

fit.nagarch.sstd.11 = ugarchfit(spec.nagarch.sstd.11, data = garch.data)

 

#5 ged 10nagarch

spec.nagarch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NAGARCH"),

                                 distribution.model = "ged")

 

fit.nagarch.ged.11 = ugarchfit(spec.nagarch.ged.11, data = garch.data)

 

 

 

#6 sged 10nagarch

spec.nagarch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NAGARCH"),

                                  distribution.model = "sged")

 

fit.nagarch.sged.11 = ugarchfit(spec.nagarch.sged.11, data = garch.data)

 

#7 nig 10nagarch

spec.nagarch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NAGARCH"),

                                 distribution.model = "nig")

 

 

fit.nagarch.nig.11 = ugarchfit(spec.nagarch.nig.11, data = garch.data)

 

#8 jsu 10nagarch

spec.nagarch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                 variance.model = list(model = "fGARCH",garchOrder = c(1, 1),submodel = "NAGARCH"),

                                 distribution.model = "jsu")

 

fit.nagarch.jsu.11 = ugarchfit(spec.nagarch.jsu.11, data = garch.data)

 


 

 

######################## PART 4.12 -  MCSGARCH ######################

#1 norm 10mcsgarch

 

spec.mcsgarch.norm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                   variance.model = list(model = "sGARCH",garchOrder = c(1, 1),submodel = "mcsGARCH"),

                                   distribution.model = "norm")

 

fit.mcsgarch.norm.11 = ugarchfit(spec.mcsgarch.norm.11, data = garch.data)

 

 

#2 snorm 10mcsgarch

 

spec.mcsgarch.snorm.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                    variance.model = list(model = "sGARCH",garchOrder = c(1, 1),submodel = "mcsGARCH"),

                                    distribution.model = "snorm")

 

fit.mcsgarch.snorm.11 = ugarchfit(spec.mcsgarch.snorm.11, data = garch.data)

 

 

#3 std 10mcsgarch

 

spec.mcsgarch.std.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "sGARCH",garchOrder = c(1, 1),submodel = "mcsGARCH"),

                                  distribution.model = "std")

 

fit.mcsgarch.std.11 = ugarchfit(spec.mcsgarch.std.11, data = garch.data)

 

#4 sstd 10mcsgarch

 

spec.mcsgarch.sstd.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                   variance.model = list(model = "sGARCH",garchOrder = c(1, 1),submodel = "mcsGARCH"),

                                   distribution.model = "sstd")

 

fit.mcsgarch.sstd.11 = ugarchfit(spec.mcsgarch.sstd.11, data = garch.data)

 

#5 ged 10mcsgarch

 

spec.mcsgarch.ged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "sGARCH",garchOrder = c(1, 1),submodel = "mcsGARCH"),

                                  distribution.model = "ged")

 

fit.mcsgarch.ged.11 = ugarchfit(spec.mcsgarch.ged.11, data = garch.data)

 

 

#6 sged 10mcsgarch

 

spec.mcsgarch.sged.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                   variance.model = list(model = "sGARCH",garchOrder = c(1, 1),submodel = "mcsGARCH"),

                                   distribution.model = "sged")

 

fit.mcsgarch.sged.11 = ugarchfit(spec.mcsgarch.sged.11, data = garch.data)

 

 

#7 nig 10mcsgarch

 

spec.mcsgarch.nig.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "sGARCH",garchOrder = c(1, 1),submodel = "mcsGARCH"),

                                  distribution.model = "nig")

 

 

fit.mcsgarch.nig.11 = ugarchfit(spec.mcsgarch.nig.11, data = garch.data)

 

 

#8 jsu 10mcsgarch

 

spec.mcsgarch.jsu.11 = ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),

                                  variance.model = list(model = "sGARCH",garchOrder = c(1, 1),submodel = "mcsGARCH"),

                                  distribution.model = "jsu")

 

fit.mcsgarch.jsu.11 = ugarchfit(spec.mcsgarch.jsu.11, data = garch.data)

 

 


 

 

##### ### PART 8. INFOTMATION CRITERIA & LIKELIHOOD FOR MODEL 11 ########

 

##### ### OUTPUT GARCH (simple GARCH -SGARCH) ##### ###

normgarch11<-infocriteria(fit.garch.norm.11)

snormgarch11<-infocriteria(fit.garch.snorm.11)

stdgarch11<-infocriteria(fit.garch.std.11)

sstdgarch11<-infocriteria(fit.garch.std.11)

gedgarch11<-infocriteria(fit.garch.ged.11)

sgedgarch11<-infocriteria(fit.garch.sged.11)

niggarch11<-infocriteria(fit.garch.nig.11)

jsugarch11<-infocriteria(fit.garch.jsu.11)

 

normgarchlike11<-likelihood(fit.garch.norm.11)

snormgarchlike11<-likelihood(fit.garch.snorm.11)

stdgarchlike11<-likelihood(fit.garch.std.11)

sstdgarchlike11<-likelihood(fit.garch.std.11)

gedgarchlike11<-likelihood(fit.garch.ged.11)

sgedgarchlike11<-likelihood(fit.garch.sged.11)

niggarchlike11<-likelihood(fit.garch.nig.11)

jsugarchlike11<-likelihood(fit.garch.jsu.11)

 

 

##### ### OUTPUT EGARCH ##### ###

 

normegarch11<-infocriteria(fit.egarch.norm.11)

snormegarch11<-infocriteria(fit.egarch.snorm.11)

stdegarch11<-infocriteria(fit.egarch.std.11)

sstdegarch11<-infocriteria(fit.egarch.std.11)

gedegarch11<-infocriteria(fit.egarch.ged.11)

sgedegarch11<-infocriteria(fit.egarch.sged.11)

nigegarch11<-infocriteria(fit.egarch.nig.11)

jsuegarch11<-infocriteria(fit.egarch.jsu.11)

 

normegarchlike11<-likelihood(fit.egarch.norm.11)

snormegarchlike11<-likelihood(fit.egarch.snorm.11)

stdegarchlike11<-likelihood(fit.egarch.std.11)

sstdegarchlike11<-likelihood(fit.egarch.std.11)

gedegarchlike11<-likelihood(fit.egarch.ged.11)

sgedegarchlike11<-likelihood(fit.egarch.sged.11)

nigegarchlike11<-likelihood(fit.egarch.nig.11)

jsuegarchlike11<-likelihood(fit.egarch.jsu.11)

 

##### ### OUTPUT AVGARCH ##### ###

normavgarch11<-infocriteria(fit.avgarch.norm.11)

snormavgarch11<-infocriteria(fit.avgarch.snorm.11)

stdavgarch11<-infocriteria(fit.avgarch.std.11)

sstdavgarch11<-infocriteria(fit.avgarch.std.11)

gedavgarch11<-infocriteria(fit.avgarch.ged.11)

sgedavgarch11<-infocriteria(fit.avgarch.sged.11)

nigavgarch11<-infocriteria(fit.avgarch.nig.11)

jsuavgarch11<-infocriteria(fit.avgarch.jsu.11)

 

normavgarchlike11<-likelihood(fit.avgarch.norm.11)

snormavgarchlike11<-likelihood(fit.avgarch.snorm.11)

stdavgarchlike11<-likelihood(fit.avgarch.std.11)

sstdavgarchlike11<-likelihood(fit.avgarch.std.11)

gedavgarchlike11<-likelihood(fit.avgarch.ged.11)

sgedavgarchlike11<-likelihood(fit.avgarch.sged.11)

nigavgarchlike11<-likelihood(fit.avgarch.nig.11)

jsuavgarchlike11<-likelihood(fit.avgarch.jsu.11)

 

##### ### OUTPUT GJRGARCH ##### ###

normgjrgarch11<-infocriteria(fit.gjrgarch.norm.11)

snormgjrgarch11<-infocriteria(fit.gjrgarch.snorm.11)

stdgjrgarch11<-infocriteria(fit.gjrgarch.std.11)

sstdgjrgarch11<-infocriteria(fit.gjrgarch.std.11)

gedgjrgarch11<-infocriteria(fit.gjrgarch.ged.11)

sgedgjrgarch11<-infocriteria(fit.gjrgarch.sged.11)

niggjrgarch11<-infocriteria(fit.gjrgarch.nig.11)

jsugjrgarch11<-infocriteria(fit.gjrgarch.jsu.11)

 

normgjrgarchlike11<-likelihood(fit.gjrgarch.norm.11)

snormgjrgarchlike11<-likelihood(fit.gjrgarch.snorm.11)

stdgjrgarchlike11<-likelihood(fit.gjrgarch.std.11)

sstdgjrgarchlike11<-likelihood(fit.gjrgarch.std.11)

gedgjrgarchlike11<-likelihood(fit.gjrgarch.ged.11)

sgedgjrgarchlike11<-likelihood(fit.gjrgarch.sged.11)

niggjrgarchlike11<-likelihood(fit.gjrgarch.nig.11)

jsugjrgarchlike11<-likelihood(fit.gjrgarch.jsu.11)

 

##### ### OUTPUT iGARCH ##### ###

normigarch11<-infocriteria(fit.igarch.norm.11)

snormigarch11<-infocriteria(fit.igarch.snorm.11)

stdigarch11<-infocriteria(fit.igarch.std.11)

sstdigarch11<-infocriteria(fit.igarch.std.11)

gedigarch11<-infocriteria(fit.igarch.ged.11)

sgedigarch11<-infocriteria(fit.igarch.sged.11)

nigigarch11<-infocriteria(fit.igarch.nig.11)

jsuigarch11<-infocriteria(fit.igarch.jsu.11)

 

normigarchlike11<-likelihood(fit.igarch.norm.11)

snormigarchlike11<-likelihood(fit.igarch.snorm.11)

stdigarchlike11<-likelihood(fit.igarch.std.11)

sstdigarchlike11<-likelihood(fit.igarch.std.11)

gedigarchlike11<-likelihood(fit.igarch.ged.11)

sgedigarchlike11<-likelihood(fit.igarch.sged.11)

nigigarchlike11<-likelihood(fit.igarch.nig.11)

jsuigarchlike11<-likelihood(fit.igarch.jsu.11)

 

 

##### ### OUTPUT CSGARCH ##### ###

normcsgarch11<-infocriteria(fit.csgarch.norm.11)

snormcsgarch11<-infocriteria(fit.csgarch.snorm.11)

stdcsgarch11<-infocriteria(fit.csgarch.std.11)

sstdcsgarch11<-infocriteria(fit.csgarch.std.11)

gedcsgarch11<-infocriteria(fit.csgarch.ged.11)

sgedcsgarch11<-infocriteria(fit.csgarch.sged.11)

nigcsgarch11<-infocriteria(fit.csgarch.nig.11)

jsucsgarch11<-infocriteria(fit.csgarch.jsu.11)

 

normcsgarchlike11<-likelihood(fit.csgarch.norm.11)

snormcsgarchlike11<-likelihood(fit.csgarch.snorm.11)

stdcsgarchlike11<-likelihood(fit.csgarch.std.11)

sstdcsgarchlike11<-likelihood(fit.csgarch.std.11)

gedcsgarchlike11<-likelihood(fit.csgarch.ged.11)

sgedcsgarchlike11<-likelihood(fit.csgarch.sged.11)

nigcsgarchlike11<-likelihood(fit.csgarch.nig.11)

jsucsgarchlike11<-likelihood(fit.csgarch.jsu.11)

 

 

##### ### OUTPUT TGARCH ##### ###

normtgarch11<-infocriteria(fit.tgarch.norm.11)

snormtgarch11<-infocriteria(fit.tgarch.snorm.11)

stdtgarch11<-infocriteria(fit.tgarch.std.11)

sstdtgarch11<-infocriteria(fit.tgarch.std.11)

gedtgarch11<-infocriteria(fit.tgarch.ged.11)

sgedtgarch11<-infocriteria(fit.tgarch.sged.11)

nigtgarch11<-infocriteria(fit.tgarch.nig.11)

jsutgarch11<-infocriteria(fit.tgarch.jsu.11)

 

normtgarchlike11<-likelihood(fit.tgarch.norm.11)

snormtgarchlike11<-likelihood(fit.tgarch.snorm.11)

stdtgarchlike11<-likelihood(fit.tgarch.std.11)

sstdtgarchlike11<-likelihood(fit.tgarch.std.11)

gedtgarchlike11<-likelihood(fit.tgarch.ged.11)

sgedtgarchlike11<-likelihood(fit.tgarch.sged.11)

nigtgarchlike11<-likelihood(fit.tgarch.nig.11)

jsutgarchlike11<-likelihood(fit.tgarch.jsu.11)

 

 

##### ###  PART OUTPUT APARCH ##### ###

normaparch11<-infocriteria(fit.aparch.norm.11)

snormaparch11<-infocriteria(fit.aparch.snorm.11)

stdaparch11<-infocriteria(fit.aparch.std.11)

sstdaparch11<-infocriteria(fit.aparch.std.11)

gedaparch11<-infocriteria(fit.aparch.ged.11)

sgedaparch11<-infocriteria(fit.aparch.sged.11)

nigaparch11<-infocriteria(fit.aparch.nig.11)

jsuaparch11<-infocriteria(fit.aparch.jsu.11)

 

normaparchlike11<-likelihood(fit.aparch.norm.11)

snormaparchlike11<-likelihood(fit.aparch.snorm.11)

stdaparchlike11<-likelihood(fit.aparch.std.11)

sstdaparchlike11<-likelihood(fit.aparch.std.11)

gedaparchlike11<-likelihood(fit.aparch.ged.11)

sgedaparchlike11<-likelihood(fit.aparch.sged.11)

nigaparchlike11<-likelihood(fit.aparch.nig.11)

jsuaparchlike11<-likelihood(fit.aparch.jsu.11)

 

##### ### PART  OUTPUT allgarch ##### ###

normallgarch11<-infocriteria(fit.allgarch.norm.11)

snormallgarch11<-infocriteria(fit.allgarch.snorm.11)

stdallgarch11<-infocriteria(fit.allgarch.std.11)

sstdallgarch11<-infocriteria(fit.allgarch.std.11)

gedallgarch11<-infocriteria(fit.allgarch.ged.11)

sgedallgarch11<-infocriteria(fit.allgarch.sged.11)

nigallgarch11<-infocriteria(fit.allgarch.nig.11)

jsuallgarch11<-infocriteria(fit.allgarch.jsu.11)

 

normallgarchlike11<-likelihood(fit.allgarch.norm.11)

snormallgarchlike11<-likelihood(fit.allgarch.snorm.11)

stdallgarchlike11<-likelihood(fit.allgarch.std.11)

sstdallgarchlike11<-likelihood(fit.allgarch.std.11)

gedallgarchlike11<-likelihood(fit.allgarch.ged.11)

sgedallgarchlike11<-likelihood(fit.allgarch.sged.11)

nigallgarchlike11<-likelihood(fit.allgarch.nig.11)

jsuallgarchlike11<-likelihood(fit.allgarch.jsu.11)

 

##### ### PART OUTPUT ngarch ##### ###

normngarch11<-infocriteria(fit.ngarch.norm.11)

snormngarch11<-infocriteria(fit.ngarch.snorm.11)

stdngarch11<-infocriteria(fit.ngarch.std.11)

sstdngarch11<-infocriteria(fit.ngarch.std.11)

gedngarch11<-infocriteria(fit.ngarch.ged.11)

sgedngarch11<-infocriteria(fit.ngarch.sged.11)

nigngarch11<-infocriteria(fit.ngarch.nig.11)

jsungarch11<-infocriteria(fit.ngarch.jsu.11)

 

normngarchlike11<-likelihood(fit.ngarch.norm.11)

snormngarchlike11<-likelihood(fit.ngarch.snorm.11)

stdngarchlike11<-likelihood(fit.ngarch.std.11)

sstdngarchlike11<-likelihood(fit.ngarch.std.11)

gedngarchlike11<-likelihood(fit.ngarch.ged.11)

sgedngarchlike11<-likelihood(fit.ngarch.sged.11)

nigngarchlike11<-likelihood(fit.ngarch.nig.11)

jsungarchlike11<-likelihood(fit.ngarch.jsu.11)

 

##### ### PART OUTPUT nagarch ##### ###

normnagarch11<-infocriteria(fit.nagarch.norm.11)

snormnagarch11<-infocriteria(fit.nagarch.snorm.11)

stdnagarch11<-infocriteria(fit.nagarch.std.11)

sstdnagarch11<-infocriteria(fit.nagarch.std.11)

gednagarch11<-infocriteria(fit.nagarch.ged.11)

sgednagarch11<-infocriteria(fit.nagarch.sged.11)

nignagarch11<-infocriteria(fit.nagarch.nig.11)

jsunagarch11<-infocriteria(fit.nagarch.jsu.11)

 

normnagarchlike11<-likelihood(fit.nagarch.norm.11)

snormnagarchlike11<-likelihood(fit.nagarch.snorm.11)

stdnagarchlike11<-likelihood(fit.nagarch.std.11)

sstdnagarchlike11<-likelihood(fit.nagarch.std.11)

gednagarchlike11<-likelihood(fit.nagarch.ged.11)

sgednagarchlike11<-likelihood(fit.nagarch.sged.11)

nignagarchlike11<-likelihood(fit.nagarch.nig.11)

jsunagarchlike11<-likelihood(fit.nagarch.jsu.11)

 

##### ### PART OUTPUT mcsgarch ##### ###

 

normmcsgarch11<-infocriteria(fit.mcsgarch.norm.11)

snormmcsgarch11<-infocriteria(fit.mcsgarch.snorm.11)

stdmcsgarch11<-infocriteria(fit.mcsgarch.std.11)

sstdmcsgarch11<-infocriteria(fit.mcsgarch.std.11)

gedmcsgarch11<-infocriteria(fit.mcsgarch.ged.11)

sgedmcsgarch11<-infocriteria(fit.mcsgarch.sged.11)

nigmcsgarch11<-infocriteria(fit.mcsgarch.nig.11)

jsumcsgarch11<-infocriteria(fit.mcsgarch.jsu.11)

 

normmcsgarchlike11<-likelihood(fit.mcsgarch.norm.11)

snormmcsgarchlike11<-likelihood(fit.mcsgarch.snorm.11)

stdmcsgarchlike11<-likelihood(fit.mcsgarch.std.11)

sstdmcsgarchlike11<-likelihood(fit.mcsgarch.std.11)

gedmcsgarchlike11<-likelihood(fit.mcsgarch.ged.11)

sgedmcsgarchlike11<-likelihood(fit.mcsgarch.sged.11)

nigmcsgarchlike11<-likelihood(fit.mcsgarch.nig.11)

jsumcsgarchlike11<-likelihood(fit.mcsgarch.jsu.11)

 

 

 

 

 

##### ### PART 9.1 GARCH11 RESULT MATRIX ########

 

 

##### PART.1 "garch11" MATRIX ####

 

matrix.garch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.garch11 [1,1]<-normgarch11[1,1]

  matrix.garch11 [1,2]<-normgarch11[2,1]

  matrix.garch11 [1,3]<-normgarch11[3,1]

  matrix.garch11 [1,4]<-normgarch11[4,1]

  matrix.garch11 [1,5]<-normgarchlike11[1]

 

  matrix.garch11 [2,1]<-snormgarch11[1,1]

  matrix.garch11 [2,2]<-snormgarch11[2,1]

  matrix.garch11 [2,3]<-snormgarch11[3,1]

  matrix.garch11 [2,4]<-snormgarch11[4,1]

  matrix.garch11 [2,5]<-snormgarchlike11[1]

 

  matrix.garch11 [3,1]<-stdgarch11[1,1]

  matrix.garch11 [3,2]<-stdgarch11[2,1]

  matrix.garch11 [3,3]<-stdgarch11[3,1]

  matrix.garch11 [3,4]<-stdgarch11[4,1]

  matrix.garch11 [3,5]<-stdgarchlike11[1]

 

  matrix.garch11 [4,1]<-sstdgarch11[1,1]

  matrix.garch11 [4,2]<-sstdgarch11[2,1]

  matrix.garch11 [4,3]<-sstdgarch11[3,1]

  matrix.garch11 [4,4]<-sstdgarch11[4,1]

  matrix.garch11 [4,5]<-sstdgarchlike11[1]

 

  matrix.garch11 [5,1]<-gedgarch11[1,1]

  matrix.garch11 [5,2]<-gedgarch11[2,1]

  matrix.garch11 [5,3]<-gedgarch11[3,1]

  matrix.garch11 [5,4]<-gedgarch11[4,1]

  matrix.garch11 [5,5]<-gedgarchlike11[1]

 

  matrix.garch11 [6,1]<-sgedgarch11[1,1]

  matrix.garch11 [6,2]<-sgedgarch11[2,1]

  matrix.garch11 [6,3]<-sgedgarch11[3,1]

  matrix.garch11 [6,4]<-sgedgarch11[4,1]

  matrix.garch11 [6,5]<-sgedgarchlike11[1]

 

  matrix.garch11 [7,1]<-niggarch11[1,1]

  matrix.garch11 [7,2]<-niggarch11[2,1]

  matrix.garch11 [7,3]<-niggarch11[3,1]

  matrix.garch11 [7,4]<-niggarch11[4,1]

  matrix.garch11 [7,5]<-niggarchlike11[1]

 

  matrix.garch11 [8,1]<-jsugarch11[1,1]

  matrix.garch11 [8,2]<-jsugarch11[2,1]

  matrix.garch11 [8,3]<-jsugarch11[3,1]

  matrix.garch11 [8,4]<-jsugarch11[4,1]

  matrix.garch11 [8,5]<-jsugarchlike11[1]

 

}

 

colnames(matrix.garch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.garch11) <-c("norm GARCH11","snorm GARCH11","std GARCH11","sstd GARCH11",

                             "ged GARCH11","sged GARCH11","nig GARCH11","jsu GARCH11")

 

 

##### PART.2 "egarch11" MATRIX ####

 

matrix.egarch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.egarch11 [1,1]<-normegarch11[1,1]

  matrix.egarch11 [1,2]<-normegarch11[2,1]

  matrix.egarch11 [1,3]<-normegarch11[3,1]

  matrix.egarch11 [1,4]<-normegarch11[4,1]

  matrix.egarch11 [1,5]<-normegarchlike11[1]

 

  matrix.egarch11 [2,1]<-snormegarch11[1,1]

  matrix.egarch11 [2,2]<-snormegarch11[2,1]

  matrix.egarch11 [2,3]<-snormegarch11[3,1]

  matrix.egarch11 [2,4]<-snormegarch11[4,1]

  matrix.egarch11 [2,5]<-snormegarchlike11[1]

 

  matrix.egarch11 [3,1]<-stdegarch11[1,1]

  matrix.egarch11 [3,2]<-stdegarch11[2,1]

  matrix.egarch11 [3,3]<-stdegarch11[3,1]

  matrix.egarch11 [3,4]<-stdegarch11[4,1]

  matrix.egarch11 [3,5]<-stdegarchlike11[1]

 

  matrix.egarch11 [4,1]<-sstdegarch11[1,1]

  matrix.egarch11 [4,2]<-sstdegarch11[2,1]

  matrix.egarch11 [4,3]<-sstdegarch11[3,1]

  matrix.egarch11 [4,4]<-sstdegarch11[4,1]

  matrix.egarch11 [4,5]<-sstdegarchlike11[1]

 

  matrix.egarch11 [5,1]<-gedegarch11[1,1]

  matrix.egarch11 [5,2]<-gedegarch11[2,1]

  matrix.egarch11 [5,3]<-gedegarch11[3,1]

  matrix.egarch11 [5,4]<-gedegarch11[4,1]

  matrix.egarch11 [5,5]<-gedegarchlike11[1]

 

  matrix.egarch11 [6,1]<-sgedegarch11[1,1]

  matrix.egarch11 [6,2]<-sgedegarch11[2,1]

  matrix.egarch11 [6,3]<-sgedegarch11[3,1]

  matrix.egarch11 [6,4]<-sgedegarch11[4,1]

  matrix.egarch11 [6,5]<-sgedegarchlike11[1]

 

  matrix.egarch11 [7,1]<-nigegarch11[1,1]

  matrix.egarch11 [7,2]<-nigegarch11[2,1]

  matrix.egarch11 [7,3]<-nigegarch11[3,1]

  matrix.egarch11 [7,4]<-nigegarch11[4,1]

  matrix.egarch11 [7,5]<-nigegarchlike11[1]

 

  matrix.egarch11 [8,1]<-jsuegarch11[1,1]

  matrix.egarch11 [8,2]<-jsuegarch11[2,1]

  matrix.egarch11 [8,3]<-jsuegarch11[3,1]

  matrix.egarch11 [8,4]<-jsuegarch11[4,1]

  matrix.egarch11 [8,5]<-jsuegarchlike11[1]

 

}

 

colnames(matrix.egarch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.egarch11) <-c("norm egarch11","snorm egarch11","std egarch11","sstd egarch11",

                              "ged egarch11","sged egarch11","nig egarch11","jsu egarch11")

 

 

##### PART.3 "igarch11" MATRIX ####

 

 

matrix.igarch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.igarch11 [1,1]<-normigarch11[1,1]

  matrix.igarch11 [1,2]<-normigarch11[2,1]

  matrix.igarch11 [1,3]<-normigarch11[3,1]

  matrix.igarch11 [1,4]<-normigarch11[4,1]

  matrix.igarch11 [1,5]<-normigarchlike11[1]

 

  matrix.igarch11 [2,1]<-snormigarch11[1,1]

  matrix.igarch11 [2,2]<-snormigarch11[2,1]

  matrix.igarch11 [2,3]<-snormigarch11[3,1]

  matrix.igarch11 [2,4]<-snormigarch11[4,1]

  matrix.igarch11 [2,5]<-snormigarchlike11[1]

 

  matrix.igarch11 [3,1]<-stdigarch11[1,1]

  matrix.igarch11 [3,2]<-stdigarch11[2,1]

  matrix.igarch11 [3,3]<-stdigarch11[3,1]

  matrix.igarch11 [3,4]<-stdigarch11[4,1]

  matrix.igarch11 [3,5]<-stdigarchlike11[1]

 

  matrix.igarch11 [4,1]<-sstdigarch11[1,1]

  matrix.igarch11 [4,2]<-sstdigarch11[2,1]

  matrix.igarch11 [4,3]<-sstdigarch11[3,1]

  matrix.igarch11 [4,4]<-sstdigarch11[4,1]

  matrix.igarch11 [4,5]<-sstdigarchlike11[1]

 

  matrix.igarch11 [5,1]<-gedigarch11[1,1]

  matrix.igarch11 [5,2]<-gedigarch11[2,1]

  matrix.igarch11 [5,3]<-gedigarch11[3,1]

  matrix.igarch11 [5,4]<-gedigarch11[4,1]

  matrix.igarch11 [5,5]<-gedigarchlike11[1]

 

  matrix.igarch11 [6,1]<-sgedigarch11[1,1]

  matrix.igarch11 [6,2]<-sgedigarch11[2,1]

  matrix.igarch11 [6,3]<-sgedigarch11[3,1]

  matrix.igarch11 [6,4]<-sgedigarch11[4,1]

  matrix.igarch11 [6,5]<-sgedigarchlike11[1]

 

  matrix.igarch11 [7,1]<-nigigarch11[1,1]

  matrix.igarch11 [7,2]<-nigigarch11[2,1]

  matrix.igarch11 [7,3]<-nigigarch11[3,1]

  matrix.igarch11 [7,4]<-nigigarch11[4,1]

  matrix.igarch11 [7,5]<-nigigarchlike11[1]

 

  matrix.igarch11 [8,1]<-jsuigarch11[1,1]

  matrix.igarch11 [8,2]<-jsuigarch11[2,1]

  matrix.igarch11 [8,3]<-jsuigarch11[3,1]

  matrix.igarch11 [8,4]<-jsuigarch11[4,1]

  matrix.igarch11 [8,5]<-jsuigarchlike11[1]

 

}

 

colnames(matrix.igarch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.igarch11) <-

  c("norm igarch11","snorm igarch11","std igarch11","sstd igarch11",

    "ged igarch11","sged igarch11","nig igarch11","jsu igarch11")

 

 

##### PART.4 "gjrgarch11" MATRIX ####

 

matrix.gjrgarch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.gjrgarch11 [1,1]<-normgjrgarch11[1,1]

  matrix.gjrgarch11 [1,2]<-normgjrgarch11[2,1]

  matrix.gjrgarch11 [1,3]<-normgjrgarch11[3,1]

  matrix.gjrgarch11 [1,4]<-normgjrgarch11[4,1]

  matrix.gjrgarch11 [1,5]<-normgjrgarchlike11[1]

 

  matrix.gjrgarch11 [2,1]<-snormgjrgarch11[1,1]

  matrix.gjrgarch11 [2,2]<-snormgjrgarch11[2,1]

  matrix.gjrgarch11 [2,3]<-snormgjrgarch11[3,1]

  matrix.gjrgarch11 [2,4]<-snormgjrgarch11[4,1]

  matrix.gjrgarch11 [2,5]<-snormgjrgarchlike11[1]

 

  matrix.gjrgarch11 [3,1]<-stdgjrgarch11[1,1]

  matrix.gjrgarch11 [3,2]<-stdgjrgarch11[2,1]

  matrix.gjrgarch11 [3,3]<-stdgjrgarch11[3,1]

  matrix.gjrgarch11 [3,4]<-stdgjrgarch11[4,1]

  matrix.gjrgarch11 [3,5]<-stdgjrgarchlike11[1]

 

  matrix.gjrgarch11 [4,1]<-sstdgjrgarch11[1,1]

  matrix.gjrgarch11 [4,2]<-sstdgjrgarch11[2,1]

  matrix.gjrgarch11 [4,3]<-sstdgjrgarch11[3,1]

  matrix.gjrgarch11 [4,4]<-sstdgjrgarch11[4,1]

  matrix.gjrgarch11 [4,5]<-sstdgjrgarchlike11[1]

 

  matrix.gjrgarch11 [5,1]<-gedgjrgarch11[1,1]

  matrix.gjrgarch11 [5,2]<-gedgjrgarch11[2,1]

  matrix.gjrgarch11 [5,3]<-gedgjrgarch11[3,1]

  matrix.gjrgarch11 [5,4]<-gedgjrgarch11[4,1]

  matrix.gjrgarch11 [5,5]<-gedgjrgarchlike11[1]

 

  matrix.gjrgarch11 [6,1]<-sgedgjrgarch11[1,1]

  matrix.gjrgarch11 [6,2]<-sgedgjrgarch11[2,1]

  matrix.gjrgarch11 [6,3]<-sgedgjrgarch11[3,1]

  matrix.gjrgarch11 [6,4]<-sgedgjrgarch11[4,1]

  matrix.gjrgarch11 [6,5]<-sgedgjrgarchlike11[1]

 

  matrix.gjrgarch11 [7,1]<-niggjrgarch11[1,1]

  matrix.gjrgarch11 [7,2]<-niggjrgarch11[2,1]

  matrix.gjrgarch11 [7,3]<-niggjrgarch11[3,1]

  matrix.gjrgarch11 [7,4]<-niggjrgarch11[4,1]

  matrix.gjrgarch11 [7,5]<-niggjrgarchlike11[1]

 

  matrix.gjrgarch11 [8,1]<-jsugjrgarch11[1,1]

  matrix.gjrgarch11 [8,2]<-jsugjrgarch11[2,1]

  matrix.gjrgarch11 [8,3]<-jsugjrgarch11[3,1]

  matrix.gjrgarch11 [8,4]<-jsugjrgarch11[4,1]

  matrix.gjrgarch11 [8,5]<-jsugjrgarchlike11[1]

 

}

 

colnames(matrix.gjrgarch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.gjrgarch11) <-

  c("norm gjrgarch11","snorm gjrgarch11","std gjrgarch11","sstd gjrgarch11",

    "ged gjrgarch11","sged gjrgarch11","nig gjrgarch11","jsu gjrgarch11")

 

##### PART.5 "aparch11" MATRIX ####

 

matrix.aparch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.aparch11 [1,1]<-normaparch11[1,1]

  matrix.aparch11 [1,2]<-normaparch11[2,1]

  matrix.aparch11 [1,3]<-normaparch11[3,1]

  matrix.aparch11 [1,4]<-normaparch11[4,1]

  matrix.aparch11 [1,5]<-normaparchlike11[1]

 

  matrix.aparch11 [2,1]<-snormaparch11[1,1]

  matrix.aparch11 [2,2]<-snormaparch11[2,1]

  matrix.aparch11 [2,3]<-snormaparch11[3,1]

  matrix.aparch11 [2,4]<-snormaparch11[4,1]

  matrix.aparch11 [2,5]<-snormaparchlike11[1]

 

  matrix.aparch11 [3,1]<-stdaparch11[1,1]

  matrix.aparch11 [3,2]<-stdaparch11[2,1]

  matrix.aparch11 [3,3]<-stdaparch11[3,1]

  matrix.aparch11 [3,4]<-stdaparch11[4,1]

  matrix.aparch11 [3,5]<-stdaparchlike11[1]

 

  matrix.aparch11 [4,1]<-sstdaparch11[1,1]

  matrix.aparch11 [4,2]<-sstdaparch11[2,1]

  matrix.aparch11 [4,3]<-sstdaparch11[3,1]

  matrix.aparch11 [4,4]<-sstdaparch11[4,1]

  matrix.aparch11 [4,5]<-sstdaparchlike11[1]

 

  matrix.aparch11 [5,1]<-gedaparch11[1,1]

  matrix.aparch11 [5,2]<-gedaparch11[2,1]

  matrix.aparch11 [5,3]<-gedaparch11[3,1]

  matrix.aparch11 [5,4]<-gedaparch11[4,1]

  matrix.aparch11 [5,5]<-gedaparchlike11[1]

 

  matrix.aparch11 [6,1]<-sgedaparch11[1,1]

  matrix.aparch11 [6,2]<-sgedaparch11[2,1]

  matrix.aparch11 [6,3]<-sgedaparch11[3,1]

  matrix.aparch11 [6,4]<-sgedaparch11[4,1]

  matrix.aparch11 [6,5]<-sgedaparchlike11[1]

 

  matrix.aparch11 [7,1]<-nigaparch11[1,1]

  matrix.aparch11 [7,2]<-nigaparch11[2,1]

  matrix.aparch11 [7,3]<-nigaparch11[3,1]

  matrix.aparch11 [7,4]<-nigaparch11[4,1]

  matrix.aparch11 [7,5]<-nigaparchlike11[1]

 

  matrix.aparch11 [8,1]<-jsuaparch11[1,1]

  matrix.aparch11 [8,2]<-jsuaparch11[2,1]

  matrix.aparch11 [8,3]<-jsuaparch11[3,1]

  matrix.aparch11 [8,4]<-jsuaparch11[4,1]

  matrix.aparch11 [8,5]<-jsuaparchlike11[1]

 

}

 

colnames(matrix.aparch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.aparch11) <-

  c("norm aparch11","snorm aparch11","std aparch11","sstd aparch11",

    "ged aparch11","sged aparch11","nig aparch11","jsu aparch11")

 

 

##### PART.6 "avgarch11" MATRIX ####

 

matrix.avgarch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.avgarch11 [1,1]<-normavgarch11[1,1]

  matrix.avgarch11 [1,2]<-normavgarch11[2,1]

  matrix.avgarch11 [1,3]<-normavgarch11[3,1]

  matrix.avgarch11 [1,4]<-normavgarch11[4,1]

  matrix.avgarch11 [1,5]<-normavgarchlike11[1]

 

  matrix.avgarch11 [2,1]<-snormavgarch11[1,1]

  matrix.avgarch11 [2,2]<-snormavgarch11[2,1]

  matrix.avgarch11 [2,3]<-snormavgarch11[3,1]

  matrix.avgarch11 [2,4]<-snormavgarch11[4,1]

  matrix.avgarch11 [2,5]<-snormavgarchlike11[1]

 

  matrix.avgarch11 [3,1]<-stdavgarch11[1,1]

  matrix.avgarch11 [3,2]<-stdavgarch11[2,1]

  matrix.avgarch11 [3,3]<-stdavgarch11[3,1]

  matrix.avgarch11 [3,4]<-stdavgarch11[4,1]

  matrix.avgarch11 [3,5]<-stdavgarchlike11[1]

 

  matrix.avgarch11 [4,1]<-sstdavgarch11[1,1]

  matrix.avgarch11 [4,2]<-sstdavgarch11[2,1]

  matrix.avgarch11 [4,3]<-sstdavgarch11[3,1]

  matrix.avgarch11 [4,4]<-sstdavgarch11[4,1]

  matrix.avgarch11 [4,5]<-sstdavgarchlike11[1]

 

  matrix.avgarch11 [5,1]<-gedavgarch11[1,1]

  matrix.avgarch11 [5,2]<-gedavgarch11[2,1]

  matrix.avgarch11 [5,3]<-gedavgarch11[3,1]

  matrix.avgarch11 [5,4]<-gedavgarch11[4,1]

  matrix.avgarch11 [5,5]<-gedavgarchlike11[1]

 

  matrix.avgarch11 [6,1]<-sgedavgarch11[1,1]

  matrix.avgarch11 [6,2]<-sgedavgarch11[2,1]

  matrix.avgarch11 [6,3]<-sgedavgarch11[3,1]

  matrix.avgarch11 [6,4]<-sgedavgarch11[4,1]

  matrix.avgarch11 [6,5]<-sgedavgarchlike11[1]

 

  matrix.avgarch11 [7,1]<-nigavgarch11[1,1]

  matrix.avgarch11 [7,2]<-nigavgarch11[2,1]

  matrix.avgarch11 [7,3]<-nigavgarch11[3,1]

  matrix.avgarch11 [7,4]<-nigavgarch11[4,1]

  matrix.avgarch11 [7,5]<-nigavgarchlike11[1]

 

  matrix.avgarch11 [8,1]<-jsuavgarch11[1,1]

  matrix.avgarch11 [8,2]<-jsuavgarch11[2,1]

  matrix.avgarch11 [8,3]<-jsuavgarch11[3,1]

  matrix.avgarch11 [8,4]<-jsuavgarch11[4,1]

  matrix.avgarch11 [8,5]<-jsuavgarchlike11[1]

 

}

 

colnames(matrix.avgarch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.avgarch11) <-

  c("norm avgarch11","snorm avgarch11","std avgarch11","sstd avgarch11",

    "ged avgarch11","sged avgarch11","nig avgarch11","jsu avgarch11")

 

 

##### PART.7 "csgarch11" MATRIX ####

 

matrix.csgarch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.csgarch11 [1,1]<-normcsgarch11[1,1]

  matrix.csgarch11 [1,2]<-normcsgarch11[2,1]

  matrix.csgarch11 [1,3]<-normcsgarch11[3,1]

  matrix.csgarch11 [1,4]<-normcsgarch11[4,1]

  matrix.csgarch11 [1,5]<-normcsgarchlike11[1]

 

  matrix.csgarch11 [2,1]<-snormcsgarch11[1,1]

  matrix.csgarch11 [2,2]<-snormcsgarch11[2,1]

  matrix.csgarch11 [2,3]<-snormcsgarch11[3,1]

  matrix.csgarch11 [2,4]<-snormcsgarch11[4,1]

  matrix.csgarch11 [2,5]<-snormcsgarchlike11[1]

 

  matrix.csgarch11 [3,1]<-stdcsgarch11[1,1]

  matrix.csgarch11 [3,2]<-stdcsgarch11[2,1]

  matrix.csgarch11 [3,3]<-stdcsgarch11[3,1]

  matrix.csgarch11 [3,4]<-stdcsgarch11[4,1]

  matrix.csgarch11 [3,5]<-stdcsgarchlike11[1]

 

  matrix.csgarch11 [4,1]<-sstdcsgarch11[1,1]

  matrix.csgarch11 [4,2]<-sstdcsgarch11[2,1]

  matrix.csgarch11 [4,3]<-sstdcsgarch11[3,1]

  matrix.csgarch11 [4,4]<-sstdcsgarch11[4,1]

  matrix.csgarch11 [4,5]<-sstdcsgarchlike11[1]

 

  matrix.csgarch11 [5,1]<-gedcsgarch11[1,1]

  matrix.csgarch11 [5,2]<-gedcsgarch11[2,1]

  matrix.csgarch11 [5,3]<-gedcsgarch11[3,1]

  matrix.csgarch11 [5,4]<-gedcsgarch11[4,1]

  matrix.csgarch11 [5,5]<-gedcsgarchlike11[1]

 

  matrix.csgarch11 [6,1]<-sgedcsgarch11[1,1]

  matrix.csgarch11 [6,2]<-sgedcsgarch11[2,1]

  matrix.csgarch11 [6,3]<-sgedcsgarch11[3,1]

  matrix.csgarch11 [6,4]<-sgedcsgarch11[4,1]

  matrix.csgarch11 [6,5]<-sgedcsgarchlike11[1]

 

  matrix.csgarch11 [7,1]<-nigcsgarch11[1,1]

  matrix.csgarch11 [7,2]<-nigcsgarch11[2,1]

  matrix.csgarch11 [7,3]<-nigcsgarch11[3,1]

  matrix.csgarch11 [7,4]<-nigcsgarch11[4,1]

  matrix.csgarch11 [7,5]<-nigcsgarchlike11[1]

 

  matrix.csgarch11 [8,1]<-jsucsgarch11[1,1]

  matrix.csgarch11 [8,2]<-jsucsgarch11[2,1]

  matrix.csgarch11 [8,3]<-jsucsgarch11[3,1]

  matrix.csgarch11 [8,4]<-jsucsgarch11[4,1]

  matrix.csgarch11 [8,5]<-jsucsgarchlike11[1]

 

}

 

colnames(matrix.csgarch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.csgarch11) <-

  c("norm csgarch11","snorm csgarch11","std csgarch11","sstd csgarch11",

    "ged csgarch11","sged csgarch11","nig csgarch11","jsu csgarch11")

 

 

##### PART.8 "tgarch11" MATRIX ####

 

matrix.tgarch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.tgarch11 [1,1]<-normtgarch11[1,1]

  matrix.tgarch11 [1,2]<-normtgarch11[2,1]

  matrix.tgarch11 [1,3]<-normtgarch11[3,1]

  matrix.tgarch11 [1,4]<-normtgarch11[4,1]

  matrix.tgarch11 [1,5]<-normtgarchlike11[1]

 

  matrix.tgarch11 [2,1]<-snormtgarch11[1,1]

  matrix.tgarch11 [2,2]<-snormtgarch11[2,1]

  matrix.tgarch11 [2,3]<-snormtgarch11[3,1]

  matrix.tgarch11 [2,4]<-snormtgarch11[4,1]

  matrix.tgarch11 [2,5]<-snormtgarchlike11[1]

 

  matrix.tgarch11 [3,1]<-stdtgarch11[1,1]

  matrix.tgarch11 [3,2]<-stdtgarch11[2,1]

  matrix.tgarch11 [3,3]<-stdtgarch11[3,1]

  matrix.tgarch11 [3,4]<-stdtgarch11[4,1]

  matrix.tgarch11 [3,5]<-stdtgarchlike11[1]

 

  matrix.tgarch11 [4,1]<-sstdtgarch11[1,1]

  matrix.tgarch11 [4,2]<-sstdtgarch11[2,1]

  matrix.tgarch11 [4,3]<-sstdtgarch11[3,1]

  matrix.tgarch11 [4,4]<-sstdtgarch11[4,1]

  matrix.tgarch11 [4,5]<-sstdtgarchlike11[1]

 

  matrix.tgarch11 [5,1]<-gedtgarch11[1,1]

  matrix.tgarch11 [5,2]<-gedtgarch11[2,1]

  matrix.tgarch11 [5,3]<-gedtgarch11[3,1]

  matrix.tgarch11 [5,4]<-gedtgarch11[4,1]

  matrix.tgarch11 [5,5]<-gedtgarchlike11[1]

 

  matrix.tgarch11 [6,1]<-sgedtgarch11[1,1]

  matrix.tgarch11 [6,2]<-sgedtgarch11[2,1]

  matrix.tgarch11 [6,3]<-sgedtgarch11[3,1]

  matrix.tgarch11 [6,4]<-sgedtgarch11[4,1]

  matrix.tgarch11 [6,5]<-sgedtgarchlike11[1]

 

  matrix.tgarch11 [7,1]<-nigtgarch11[1,1]

  matrix.tgarch11 [7,2]<-nigtgarch11[2,1]

  matrix.tgarch11 [7,3]<-nigtgarch11[3,1]

  matrix.tgarch11 [7,4]<-nigtgarch11[4,1]

  matrix.tgarch11 [7,5]<-nigtgarchlike11[1]

 

  matrix.tgarch11 [8,1]<-jsutgarch11[1,1]

  matrix.tgarch11 [8,2]<-jsutgarch11[2,1]

  matrix.tgarch11 [8,3]<-jsutgarch11[3,1]

  matrix.tgarch11 [8,4]<-jsutgarch11[4,1]

  matrix.tgarch11 [8,5]<-jsutgarchlike11[1]

 

}

 

colnames(matrix.tgarch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.tgarch11) <-

  c("norm tgarch11","snorm tgarch11","std tgarch11","sstd tgarch11",

    "ged tgarch11","sged tgarch11","nig tgarch11","jsu tgarch11")

 

##### PART.9 "allgarch11" MATRIX ####

 

matrix.allgarch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.allgarch11 [1,1]<-normallgarch11[1,1]

  matrix.allgarch11 [1,2]<-normallgarch11[2,1]

  matrix.allgarch11 [1,3]<-normallgarch11[3,1]

  matrix.allgarch11 [1,4]<-normallgarch11[4,1]

  matrix.allgarch11 [1,5]<-normallgarchlike11[1]

 

  matrix.allgarch11 [2,1]<-snormallgarch11[1,1]

  matrix.allgarch11 [2,2]<-snormallgarch11[2,1]

  matrix.allgarch11 [2,3]<-snormallgarch11[3,1]

  matrix.allgarch11 [2,4]<-snormallgarch11[4,1]

  matrix.allgarch11 [2,5]<-snormallgarchlike11[1]

 

  matrix.allgarch11 [3,1]<-stdallgarch11[1,1]

  matrix.allgarch11 [3,2]<-stdallgarch11[2,1]

  matrix.allgarch11 [3,3]<-stdallgarch11[3,1]

  matrix.allgarch11 [3,4]<-stdallgarch11[4,1]

  matrix.allgarch11 [3,5]<-stdallgarchlike11[1]

 

  matrix.allgarch11 [4,1]<-sstdallgarch11[1,1]

  matrix.allgarch11 [4,2]<-sstdallgarch11[2,1]

  matrix.allgarch11 [4,3]<-sstdallgarch11[3,1]

  matrix.allgarch11 [4,4]<-sstdallgarch11[4,1]

  matrix.allgarch11 [4,5]<-sstdallgarchlike11[1]

 

  matrix.allgarch11 [5,1]<-gedallgarch11[1,1]

  matrix.allgarch11 [5,2]<-gedallgarch11[2,1]

  matrix.allgarch11 [5,3]<-gedallgarch11[3,1]

  matrix.allgarch11 [5,4]<-gedallgarch11[4,1]

  matrix.allgarch11 [5,5]<-gedallgarchlike11[1]

 

  matrix.allgarch11 [6,1]<-sgedallgarch11[1,1]

  matrix.allgarch11 [6,2]<-sgedallgarch11[2,1]

  matrix.allgarch11 [6,3]<-sgedallgarch11[3,1]

  matrix.allgarch11 [6,4]<-sgedallgarch11[4,1]

  matrix.allgarch11 [6,5]<-sgedallgarchlike11[1]

 

  matrix.allgarch11 [7,1]<-nigallgarch11[1,1]

  matrix.allgarch11 [7,2]<-nigallgarch11[2,1]

  matrix.allgarch11 [7,3]<-nigallgarch11[3,1]

  matrix.allgarch11 [7,4]<-nigallgarch11[4,1]

  matrix.allgarch11 [7,5]<-nigallgarchlike11[1]

 

  matrix.allgarch11 [8,1]<-jsuallgarch11[1,1]

  matrix.allgarch11 [8,2]<-jsuallgarch11[2,1]

  matrix.allgarch11 [8,3]<-jsuallgarch11[3,1]

  matrix.allgarch11 [8,4]<-jsuallgarch11[4,1]

  matrix.allgarch11 [8,5]<-jsuallgarchlike11[1]

 

}

 

colnames(matrix.allgarch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.allgarch11) <-

  c("norm allgarch11","snorm allgarch11","std allgarch11","sstd allgarch11",

    "ged allgarch11","sged allgarch11","nig allgarch11","jsu allgarch11")

 

##### PART.10 "ngarch11" MATRIX ####

 

matrix.ngarch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.ngarch11 [1,1]<-normngarch11[1,1]

  matrix.ngarch11 [1,2]<-normngarch11[2,1]

  matrix.ngarch11 [1,3]<-normngarch11[3,1]

  matrix.ngarch11 [1,4]<-normngarch11[4,1]

  matrix.ngarch11 [1,5]<-normngarchlike11[1]

 

  matrix.ngarch11 [2,1]<-snormngarch11[1,1]

  matrix.ngarch11 [2,2]<-snormngarch11[2,1]

  matrix.ngarch11 [2,3]<-snormngarch11[3,1]

  matrix.ngarch11 [2,4]<-snormngarch11[4,1]

  matrix.ngarch11 [2,5]<-snormngarchlike11[1]

 

  matrix.ngarch11 [3,1]<-stdngarch11[1,1]

  matrix.ngarch11 [3,2]<-stdngarch11[2,1]

  matrix.ngarch11 [3,3]<-stdngarch11[3,1]

  matrix.ngarch11 [3,4]<-stdngarch11[4,1]

  matrix.ngarch11 [3,5]<-stdngarchlike11[1]

 

  matrix.ngarch11 [4,1]<-sstdngarch11[1,1]

  matrix.ngarch11 [4,2]<-sstdngarch11[2,1]

  matrix.ngarch11 [4,3]<-sstdngarch11[3,1]

  matrix.ngarch11 [4,4]<-sstdngarch11[4,1]

  matrix.ngarch11 [4,5]<-sstdngarchlike11[1]

 

  matrix.ngarch11 [5,1]<-gedngarch11[1,1]

  matrix.ngarch11 [5,2]<-gedngarch11[2,1]

  matrix.ngarch11 [5,3]<-gedngarch11[3,1]

  matrix.ngarch11 [5,4]<-gedngarch11[4,1]

  matrix.ngarch11 [5,5]<-gedngarchlike11[1]

 

  matrix.ngarch11 [6,1]<-sgedngarch11[1,1]

  matrix.ngarch11 [6,2]<-sgedngarch11[2,1]

  matrix.ngarch11 [6,3]<-sgedngarch11[3,1]

  matrix.ngarch11 [6,4]<-sgedngarch11[4,1]

  matrix.ngarch11 [6,5]<-sgedngarchlike11[1]

 

  matrix.ngarch11 [7,1]<-nigngarch11[1,1]

  matrix.ngarch11 [7,2]<-nigngarch11[2,1]

  matrix.ngarch11 [7,3]<-nigngarch11[3,1]

  matrix.ngarch11 [7,4]<-nigngarch11[4,1]

  matrix.ngarch11 [7,5]<-nigngarchlike11[1]

 

  matrix.ngarch11 [8,1]<-jsungarch11[1,1]

  matrix.ngarch11 [8,2]<-jsungarch11[2,1]

  matrix.ngarch11 [8,3]<-jsungarch11[3,1]

  matrix.ngarch11 [8,4]<-jsungarch11[4,1]

  matrix.ngarch11 [8,5]<-jsungarchlike11[1]

 

}

 

colnames(matrix.ngarch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.ngarch11) <-

  c("norm ngarch11","snorm ngarch11","std ngarch11","sstd ngarch11",

    "ged ngarch11","sged ngarch11","nig ngarch11","jsu ngarch11")

 

##### PART.11 "nagarch11" MATRIX ####

 

matrix.nagarch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.nagarch11 [1,1]<-normnagarch11[1,1]

  matrix.nagarch11 [1,2]<-normnagarch11[2,1]

  matrix.nagarch11 [1,3]<-normnagarch11[3,1]

  matrix.nagarch11 [1,4]<-normnagarch11[4,1]

  matrix.nagarch11 [1,5]<-normnagarchlike11[1]

 

  matrix.nagarch11 [2,1]<-snormnagarch11[1,1]

  matrix.nagarch11 [2,2]<-snormnagarch11[2,1]

  matrix.nagarch11 [2,3]<-snormnagarch11[3,1]

  matrix.nagarch11 [2,4]<-snormnagarch11[4,1]

  matrix.nagarch11 [2,5]<-snormnagarchlike11[1]

 

  matrix.nagarch11 [3,1]<-stdnagarch11[1,1]

  matrix.nagarch11 [3,2]<-stdnagarch11[2,1]

  matrix.nagarch11 [3,3]<-stdnagarch11[3,1]

  matrix.nagarch11 [3,4]<-stdnagarch11[4,1]

  matrix.nagarch11 [3,5]<-stdnagarchlike11[1]

 

  matrix.nagarch11 [4,1]<-sstdnagarch11[1,1]

  matrix.nagarch11 [4,2]<-sstdnagarch11[2,1]

  matrix.nagarch11 [4,3]<-sstdnagarch11[3,1]

  matrix.nagarch11 [4,4]<-sstdnagarch11[4,1]

  matrix.nagarch11 [4,5]<-sstdnagarchlike11[1]

 

  matrix.nagarch11 [5,1]<-gednagarch11[1,1]

  matrix.nagarch11 [5,2]<-gednagarch11[2,1]

  matrix.nagarch11 [5,3]<-gednagarch11[3,1]

  matrix.nagarch11 [5,4]<-gednagarch11[4,1]

  matrix.nagarch11 [5,5]<-gednagarchlike11[1]

 

  matrix.nagarch11 [6,1]<-sgednagarch11[1,1]

  matrix.nagarch11 [6,2]<-sgednagarch11[2,1]

  matrix.nagarch11 [6,3]<-sgednagarch11[3,1]

  matrix.nagarch11 [6,4]<-sgednagarch11[4,1]

  matrix.nagarch11 [6,5]<-sgednagarchlike11[1]

 

  matrix.nagarch11 [7,1]<-nignagarch11[1,1]

  matrix.nagarch11 [7,2]<-nignagarch11[2,1]

  matrix.nagarch11 [7,3]<-nignagarch11[3,1]

  matrix.nagarch11 [7,4]<-nignagarch11[4,1]

  matrix.nagarch11 [7,5]<-nignagarchlike11[1]

 

  matrix.nagarch11 [8,1]<-jsunagarch11[1,1]

  matrix.nagarch11 [8,2]<-jsunagarch11[2,1]

  matrix.nagarch11 [8,3]<-jsunagarch11[3,1]

  matrix.nagarch11 [8,4]<-jsunagarch11[4,1]

  matrix.nagarch11 [8,5]<-jsunagarchlike11[1]

 

}

 

colnames(matrix.nagarch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.nagarch11) <-

  c("norm nagarch11","snorm nagarch11","std nagarch11","sstd nagarch11",

    "ged nagarch11","sged nagarch11","nig nagarch11","jsu nagarch11")

 

##### PART.12 "mcsgarch11" MATRIX ####

 

matrix.mcsgarch11<-matrix(0,8,5,dimnames=list(NULL))

 

{

 

 

  matrix.mcsgarch11 [1,1]<-normmcsgarch11[1,1]

  matrix.mcsgarch11 [1,2]<-normmcsgarch11[2,1]

  matrix.mcsgarch11 [1,3]<-normmcsgarch11[3,1]

  matrix.mcsgarch11 [1,4]<-normmcsgarch11[4,1]

  matrix.mcsgarch11 [1,5]<-normmcsgarchlike11[1]

 

  matrix.mcsgarch11 [2,1]<-snormmcsgarch11[1,1]

  matrix.mcsgarch11 [2,2]<-snormmcsgarch11[2,1]

  matrix.mcsgarch11 [2,3]<-snormmcsgarch11[3,1]

  matrix.mcsgarch11 [2,4]<-snormmcsgarch11[4,1]

  matrix.mcsgarch11 [2,5]<-snormmcsgarchlike11[1]

 

  matrix.mcsgarch11 [3,1]<-stdmcsgarch11[1,1]

  matrix.mcsgarch11 [3,2]<-stdmcsgarch11[2,1]

  matrix.mcsgarch11 [3,3]<-stdmcsgarch11[3,1]

  matrix.mcsgarch11 [3,4]<-stdmcsgarch11[4,1]

  matrix.mcsgarch11 [3,5]<-stdmcsgarchlike11[1]

 

  matrix.mcsgarch11 [4,1]<-sstdmcsgarch11[1,1]

  matrix.mcsgarch11 [4,2]<-sstdmcsgarch11[2,1]

  matrix.mcsgarch11 [4,3]<-sstdmcsgarch11[3,1]

  matrix.mcsgarch11 [4,4]<-sstdmcsgarch11[4,1]

  matrix.mcsgarch11 [4,5]<-sstdmcsgarchlike11[1]

 

  matrix.mcsgarch11 [5,1]<-gedmcsgarch11[1,1]

  matrix.mcsgarch11 [5,2]<-gedmcsgarch11[2,1]

  matrix.mcsgarch11 [5,3]<-gedmcsgarch11[3,1]

  matrix.mcsgarch11 [5,4]<-gedmcsgarch11[4,1]

  matrix.mcsgarch11 [5,5]<-gedmcsgarchlike11[1]

 

  matrix.mcsgarch11 [6,1]<-sgedmcsgarch11[1,1]

  matrix.mcsgarch11 [6,2]<-sgedmcsgarch11[2,1]

  matrix.mcsgarch11 [6,3]<-sgedmcsgarch11[3,1]

  matrix.mcsgarch11 [6,4]<-sgedmcsgarch11[4,1]

  matrix.mcsgarch11 [6,5]<-sgedmcsgarchlike11[1]

 

  matrix.mcsgarch11 [7,1]<-nigmcsgarch11[1,1]

  matrix.mcsgarch11 [7,2]<-nigmcsgarch11[2,1]

  matrix.mcsgarch11 [7,3]<-nigmcsgarch11[3,1]

  matrix.mcsgarch11 [7,4]<-nigmcsgarch11[4,1]

  matrix.mcsgarch11 [7,5]<-nigmcsgarchlike11[1]

 

  matrix.mcsgarch11 [8,1]<-jsumcsgarch11[1,1]

  matrix.mcsgarch11 [8,2]<-jsumcsgarch11[2,1]

  matrix.mcsgarch11 [8,3]<-jsumcsgarch11[3,1]

  matrix.mcsgarch11 [8,4]<-jsumcsgarch11[4,1]

  matrix.mcsgarch11 [8,5]<-jsumcsgarchlike11[1]

 

}

 

colnames(matrix.mcsgarch11) <-c("Akaike", "Bayes","Shibata","Hannan-Quinn","Likelihood")

rownames(matrix.mcsgarch11) <-

  c("norm mcsgarch11","snorm mcsgarch11","std mcsgarch11","sstd mcsgarch11",

    "ged mcsgarch11","sged mcsgarch11","nig mcsgarch11","jsu mcsgarch11")

 

##### PART.13 RBIND OF ALL GARCH MATRICES #####

 

garch.extension <- rbind(matrix.garch11,matrix.egarch11,matrix.igarch11,matrix.gjrgarch11,

                         matrix.aparch11,matrix.avgarch11,matrix.allgarch11,matrix.csgarch11,

                         matrix.tgarch11,matrix.ngarch11,matrix.nagarch11)

 

write.csv(garch.extension , file = "gmtx11.csv")

 


 

 

##################PART. 14 -  COGARCH ##################

#We now see an example, adapted from Bianchi et al. (2016), where this relationship

#is also checked on the estimates from real data for these two models. We download

#the data on Next Plc, and we try to fit to the de-trended log-returns

#a GARCH(1,1) using the rugarch package (Ghalanos 2015) and later a COGARCH(1,1) by yuima.

#GARCH and COGARCH MODELS

 

X=garch.data

spec <- ugarchspec(variance.model =

                     list(model = "sGARCH", garchOrder = c(1, 1)),

                   mean.model = list(armaOrder = c(0, 0), include.mean = FALSE))

 

fitGARCH <- ugarchfit(data = X, spec = spec)

GARCH11param <- coef(fitGARCH)

 

 

GARCH11param

vol.garch<-sigma(fitGARCH)

names(fitGARCH@fit)

plot(fitGARCH, which="all")

 

 

 

#Now, we construct a function to convert the parameters from a GARCH(1,1) to a

#COGARCH(1,1) model according to formula (7.17). This function is similar to the

#implementation in the package COGARCH.rm (Bianchi et al. 2017).

#delta<-1/frequency of data

 

Delta <- 1/10

ParGarToCog<- function(GARCH11param, dt, names=NULL){

  if(is.null(names))

    names <- names(GARCH11param)

  my.omega <- GARCH11param["omega"]

  my.alpha <- GARCH11param["alpha1"]

  my.beta <- GARCH11param["beta1"]

  a1 <- my.alpha/dt

  b1 <- -log(my.beta)/dt

  a0 <- my.omega/(b1*dt^2)

  qmleparInGARCH <- c(a0, a1, b1)

  names(qmleparInGARCH) <- c("a0", "a1", "b1")

  return(qmleparInGARCH)

 

}

 

#Now, we use the converted values as initial point of the qmle optimizer

 

ParGarToCog(GARCH11param, Delta)

 

 

start <- as.list(ParGarToCog(GARCH11param, Delta))

cp.modCog11 <- setCogarch(p=1, q=1, measure =

                         list(intensity="1",

                      df=list("dnorm(z, 0, 1)")), measure.type="CP")

vg.modCog11 <- setCogarch(p=1, q=1, measure =

                            list(intensity="1",

                     df=list("dnorm(z, 0, 1)")), measure.type="VG")

 

volatility.data <- setData(cumsum(X), delta = Delta)

Cog11.cp <- setYuima(data = volatility.data, model = cp.modCog11)

Cog11.fit <- qmle(yuima = Cog11, grideq=TRUE,

                  start = c(start, y1 = 0.1),

                  aggregation = FALSE, method = "Nelder-Mead",Est.Incr = "Incr")

 

 

 

v=simulate(Cog11.fit)

vol.cogarch<-v@data@zoo.data$`Series 2`

plotdata<-merge(data2,

                v@data@zoo.data$`Series 1`,

                v@data@zoo.data$`Series 2`,

                v@data@zoo.data$`Series 3`)

 

par(mfrow=c(3,1))

plot(plotdata[,2],

     main="CP-COGARCH Sample Path",xlab="",ylab="G",col="red")

plot(plotdata[,3],

     main="CP-COGARCH Volatility",ylab="V",col="blue")

plot(plotdata[,4],

     main="CP-COGARCH Observations", ylab="Y1",col="red")

 

COGARCH11par <- coef(Cog11.fit)

COGARCH11par

 

summary(Cog11.fit)

 

#diagnostics

check11<-Diagnostic.Cogarch(Cog11, param=COGARCH11par)

 

str(check11)

slotNames(Cog11.fit)

Cog11.fit@vcov

Cog11.fit@min

Cog11.fit@minuslogl

Cog11.fit@details

details(Cog11.fit)

 

 

#we apply the reverse transform from COGARCH(1,1) to GARCH(1,1)

 

ParCogToGar<- function(COGARCH11param, dt, names=NULL){

  a0 <- COGARCH11param["a0"]

  a1 <- COGARCH11param["a1"]

  b1 <- COGARCH11param["b1"]

  my.omega <- a0*b1*dt^2

  my.alpha <- a1*dt

  my.beta <- exp(-b1*dt)

  qmleparInGARCH <- c(my.omega, my.alpha, my.beta)

  names(qmleparInGARCH) <- c("omega", "alpha1", "beta1")

  return(qmleparInGARCH)

}

 

 

contodiscrete<-ParCogToGar(COGARCH11par, Delta)

 

###################### PART 11 MODEL CHECK and DIAGNOSTICS ###################

#Set your language

Sys.setlocale("LC_TIME", "English")

 

vol.garch.family<-sigma(fit.allgarch.jsu.11)

data1.garch<-vol.garch.family

adf.test(vol.garch.family)

pp.test(vol.garch.family)

pp.test(data2)

data2.garch<-vol.garch.family

 

persistence(fit.allgarch.jsu.11)

halflife(fit.allgarch.jsu.11)

convergence(fit.allgarch.jsu.11)

uncvariance(fit.allgarch.jsu.11)

uncmean(fit.allgarch.jsu.11)

gof(fit.allgarch.jsu.11)

pit(fit.allgarch.jsu.11)

plot(fit.allgarch.jsu.11)

 

specf = getspec(fit.allgarch.jsu.11)

setfixed.specf <- as.list(coef(fit.allgarch.jsu.11))

filt1 = ugarchfilter(specf, X[1:1200, ], n.old = 1000)

filt2 = ugarchfilter(specf, X[1001:1200, ])

 

 

quantile(fit.allgarch.jsu.11)

show(fit.allgarch.jsu.11)

 

gd = ugarchdistribution(fit.allgarch.jsu.11, n.sim = 100, recursive = TRUE,

    recursive.length = 1800, recursive.window = 500,

    m.sim = 100, solver = 'hybrid')

 

show(gd)

plot(gd, which = 1, window = 12)

plot(gd, which = 2, window = 12)

plot(gd, which = 3, window = 12)

plot(gd, which = 4, window = 12)

 

 

output.data<-merge(na.md[2:nn,],data1.garch,rtn1, vol.cogarch[2:nn,])

output.data<-merge(na.md[2:nn,],data1.garch,rtn1, vol.cogarch[2:nn,],data2.garch,rtn2, vol.cogarchXx[2:nn,])

 

 

egcm(output.data[,4],output.data[,2])

 

write.csv(mgarch.data, file = "mgarchdata.csv")

 

 

plot.ts(vol.garch.family, xlab="GARCH Volatility",ylab="sigma", col="blue")

plot(vol.garch.family, main="GARCH(1,1) Volatility",ylab="sigma", col="blue")

plot(fit.avgarch.ged.11, which="all")

plot(X, main="Log-Returns of BTC-USD")

 

 

par(mfrow=c(3,1))

plot(X, main="Log-returns of BTC-USD",ylab="log-returns", col="red")

plot(vol.garch.family,main="JSU-ALLGARCH Volatility of BTC-USD" ,ylab="Volatility", col="green")

plot(plotdata[,2], main="CP-COGARCH Volatility of BTC-USD", col="blue")