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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 platinium prices were used.The Platinium prices (PL=F) 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
returns of the PL=F 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.
##################### PART 1- LIBRARIES ####################
install.packages("MCMCpack");
install.packages("rugarch");
install.packages("fGarch"); install.packages("tseries");
nstall.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");
install.packages("BAYSTAR");install.packages("TAR");
install.packages("TSA");install.packages("forecast")
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);
library(BAYSTAR);library(TAR);library(TSA);library(forecast)
######################################################
##################### PART 2 - DATA ####################
#part 2.1 upload
data by quantmod from yahoo-finance
getSymbols("PL=F", from="2018-01-01", to="2020-05-01")
S<-`PL=F`$`PL=F.Close`
X<- dailyReturn(`PL=F`)
# part 2.2 merging and
omitting the na values
md<-merge(S,X)
na.md<-na.omit(md)
# 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="Returns of PL=F")
plot(S, main="PL=F " )
##############################################################
############ PART
3 - STATIONARITY and ARCH EFFECT ###############
#unit root tests
ADF and PP
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 11nagarch
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
11nagarch
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 11nagarch
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 11nagarch
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 11nagarch
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 11nagarch
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 11nagarch
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 11nagarch
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
12mcsgarch
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
12mcsgarch
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 12mcsgarch
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
12mcsgarch
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 12mcsgarch
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
12mcsgarch
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 12mcsgarch
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 12mcsgarch
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 5
INFOTMATION CRITERIA & LIKELIHOOD FOR MODEL 11 ########
##### ### PART
5.1 - 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)
##### ### PART
5.2 - 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)
##### ### PART
5.3 - 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)
##### ### PART
5.4 - 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)
##### ### PART
5.5 - 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)
##### ### PART
5.6 - 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)
##### ### PART
5.7 - 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 5.8 - 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
5.9 - 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
5.10 -
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
5.11 - 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
5.12 -
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
6 GARCH11 RESULT MATRIX ########
##### PART 6.1
"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 6.2
"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 6.3
"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 6.4
"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 6.5
"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 6.6
"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 6.7
"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 6.8
"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 6.9
"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 6.10
"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 6.11
"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 6.12
"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 6.13
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, ,matrix.mcsgarch11)
write.csv(garch.extension , file = "gmtx11.csv")
##################PART 7 - COGARCH ##################
#An
example, adapted from Bianchi et al. (2016), where this relationship
#is also checked
on the estimates from data for these two models.
#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 8 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)
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)
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="Returns of PL=F")
par(mfrow=c(3,1))
plot(X,
main="Returns of PL=F",ylab="returns", col="red")
plot(vol.garch.family,main="JSU-ALLGARCH Volatility of PL=F"
,ylab="Volatility", col="green")
plot(vol.cogarch, main="CP-COGARCH Volatility of PL=F",
col="blue")
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