To obtain the t student of each rolling window with EGARCH model

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To obtain the t student of each rolling window with EGARCH model

Sandrine Boulerne
Good Morning,



I investigate the day-of –the-week of 11 indices in 11 countries using EGARCH model and rolling sample method with one sample interval case of 500 days. The main purpose of the empirical analysis is to determine whether there exist calendar effects or not by observing whether the t values exceed the quantile of the standard normal distribution z = 1.96 for confidence level of 5%. I want to use the same method as Zhang, Lai, Lin (2017), “the day-of-the-week effects of stocks markets in different countries”, Finance Research Letters 20.



For the EGARCH model, I used Package “Rugarch”, and everything is good :



spec2b<-ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1,1), external.regressors=L1), mean.model=list(armaOrder=c(0,0),archm=TRUE,archpow=1,external.regressors=L2),

distribution.model = "std")



fit2b<-ugarchfit(spec=spec2b,solver="hybrid", data=RENT)

show(fit2b)



But for the rolling sample method, with EGARCH(1,1), I thought using “ugarchroll” or “ugarchdistribution ”, to calculate the student t for each rolling window , but I do not get student t :



dist <- ugarchdistribution(fit2b, n.sim = 500, n.start = 1, m.sim = 100, solver = "solnp")

show(dist)

or

roll1=ugarchroll(spec1b,data = RENT,n.start = NULL,window.size = 500,solver = "solnp" )

show(roll1)



Could you orient me to a solution ?

Thank you very much

Sandrine BOULERNE
Maître de Conférences - Habilitation à Diriger des Recherches (HDR)
IAE de Tours - Faculté de Droit, Économie et Sciences Sociales
50 av. Jean Portalis, BP 0607, 37206 TOURS Cedex 3
Téléphone : 02 47 36 10 47
www.iae.univ-tours.fr


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Re: To obtain the t student of each rolling window with EGARCH model

alexios
Have you tried 'coef(roll1)'?

I think the documentation is reasonably clear (?ugarchroll).
It returns an object of class 'uGARCHroll' (which is clickable in the
documentation and will take you to the class help page).
In the class help page you will see that one of the methods on the class
is:

"coef
signature(object = "uGARCHroll"): Extracts the list of coefficients for
each estimated window in the rolling backtest."

Therefore, coef(roll1) will return the list of coefficient matrices
per roll window, from which you can extract the shape parameter of the
standardized Student distribution.

Similarly, please read the documentation for ugarchdistribution.


-Alexios

On 9/11/2017 9:03 AM, Sandrine Boulerne wrote:

> Good Morning,
>
> I investigate the day-of –the-week of 11 indices in 11 countries using
> EGARCH model and rolling sample method with one sample interval case of
> 500 days. The main purpose of the empirical analysis is to determine
> whether there exist calendar effects or not by observing whether the /t/
> values exceed the quantile of the standard normal distribution z = 1.96
> for confidence level of 5%. I want to use the same method as Zhang, Lai,
> Lin (2017), “the day-of-the-week effects of stocks markets in different
> countries”, Finance Research Letters 20.
>
> For the EGARCH model, I used Package “Rugarch”, and everything is good:
>
> spec2b<-ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1,1),
> external.regressors=L1),            
> mean.model=list(armaOrder=c(0,0),archm=TRUE,archpow=1,external.regressors=L2),
>
> distribution.model = "std")
>
> fit2b<-ugarchfit(spec=spec2b,solver="hybrid", data=RENT)
>
> show(fit2b)
>
> But for the rolling sample method, with EGARCH(1,1), I thought using
>   “ugarchroll” or “ugarchdistribution*”, ** to calculate the student /t/
> for each rolling window*, *but **I do not get student /t/* :
>
> dist <- ugarchdistribution(fit2b, n.sim = 500, n.start = 1, m.sim = 100,
> solver = "solnp")
>
> show(dist)
>
> or
>
> roll1=ugarchroll(spec1b,data = RENT,n.start = NULL,window.size =
> 500,solver = "solnp" )
>
> show(roll1)
>
> Could you orient me to a solution ?
>
> Thank you very much
>
>
>
> Sandrine BOULERNE
> Maître de Conférences - Habilitation à Diriger des Recherches (HDR)
> IAE de Tours - Faculté de Droit, Économie et Sciences Sociales
> 50 av. Jean Portalis, BP 0607, 37206 TOURS Cedex 3
> Téléphone : 02 47 36 10 47
> www.iae.univ-tours.fr
>

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Re: To obtain the t student of each rolling window with EGARCH model

Sandrine Boulerne

Dear Alexios

That's wonderful. Thanks to you I got what I was looking for several weeks. you are right, the documentation is very clear, but sometimes we do not see what may seem obvious to an expert eye.

Thanks a lot


Sandrine BOULERNE
Maitre de Conferences - Habilitation à Diriger des Recherches (HDR)
Co-responsable du thème Finance Contrôle Audit du Laboratoire de recherche VALLOREM
IAE de Tours - Faculté de Droit, Économie et Sciences Sociales
50 av. Jean Portalis, BP 0607, 37206 TOURS Cedex 3
Téléphone : 02 47 36 10 47
www.iae.univ-tours.fr

----- Mail original -----
De: "alexios" <[hidden email]>
À: "Sandrine Boulerne" <[hidden email]>
Cc: [hidden email]
Envoyé: Mardi 12 Septembre 2017 06:27:33
Objet: Re: To obtain the t student of each rolling window with EGARCH model

Have you tried 'coef(roll1)'?

I think the documentation is reasonably clear (?ugarchroll).
It returns an object of class 'uGARCHroll' (which is clickable in the
documentation and will take you to the class help page).
In the class help page you will see that one of the methods on the class
is:

"coef
signature(object = "uGARCHroll"): Extracts the list of coefficients for
each estimated window in the rolling backtest."

Therefore, coef(roll1) will return the list of coefficient matrices
per roll window, from which you can extract the shape parameter of the
standardized Student distribution.

Similarly, please read the documentation for ugarchdistribution.


-Alexios

On 9/11/2017 9:03 AM, Sandrine Boulerne wrote:

> Good Morning,
>
> I investigate the day-of –the-week of 11 indices in 11 countries using
> EGARCH model and rolling sample method with one sample interval case of
> 500 days. The main purpose of the empirical analysis is to determine
> whether there exist calendar effects or not by observing whether the /t/
> values exceed the quantile of the standard normal distribution z = 1.96
> for confidence level of 5%. I want to use the same method as Zhang, Lai,
> Lin (2017), “the day-of-the-week effects of stocks markets in different
> countries”, Finance Research Letters 20.
>
> For the EGARCH model, I used Package “Rugarch”, and everything is good:
>
> spec2b<-ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1,1),
> external.regressors=L1),            
> mean.model=list(armaOrder=c(0,0),archm=TRUE,archpow=1,external.regressors=L2),
>
> distribution.model = "std")
>
> fit2b<-ugarchfit(spec=spec2b,solver="hybrid", data=RENT)
>
> show(fit2b)
>
> But for the rolling sample method, with EGARCH(1,1), I thought using
>   “ugarchroll” or “ugarchdistribution*”, ** to calculate the student /t/
> for each rolling window*, *but **I do not get student /t/* :
>
> dist <- ugarchdistribution(fit2b, n.sim = 500, n.start = 1, m.sim = 100,
> solver = "solnp")
>
> show(dist)
>
> or
>
> roll1=ugarchroll(spec1b,data = RENT,n.start = NULL,window.size =
> 500,solver = "solnp" )
>
> show(roll1)
>
> Could you orient me to a solution ?
>
> Thank you very much
>
>
>
> Sandrine BOULERNE
> Maître de Conférences - Habilitation à Diriger des Recherches (HDR)
> IAE de Tours - Faculté de Droit, Économie et Sciences Sociales
> 50 av. Jean Portalis, BP 0607, 37206 TOURS Cedex 3
> Téléphone : 02 47 36 10 47
> www.iae.univ-tours.fr
>

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.