Fwd: Problems with rugarch package

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Fwd: Problems with rugarch package

Camila Villegas
Greetings


My name is Camila Villegas, I  write to you about a fault that I found in
the rugarch package and that I would like to discuss with you.

For my master's research, I conducted simulations with the rugarch package
to evaluate its operation with a TGARCH model (1,1).

First I analyzed the convergence of the estimated parameters and they
presented no problems. plus the mean square error decreased as the sample
size increased.

The validation of the modeling results (obtained by the "ugarchfit"
function) I carried out by analyzing the residues generated by the
"residuals" function. The simulated residues originally had zero mean and
variance one, however, in the 10,000 simulations that I developed, the
values of the variances of the residues generated by the "ugarchfit"
function were significantly different from one.

On the contrary, when calculating the residues "manually" and only using
the parameters estimated by the package, we obtained means close to zero
and variances close to one.

With this last point, I observed a flaw in the residues delivered by the
rugarch package for a TGARCH process (1,1), since they do not have the same
variance with which they were simulated.

Thanking your observations,

Kind Regards.

Camila Villegas Orellana

        [[alternative HTML version deleted]]

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Re: Fwd: Problems with rugarch package

alexios
Hi Camila,

Can you provide some reproducible code to help us investigate and debug this issue. It is hard to do so from the description provided.

Thanks,

Alexios


> On Feb 4, 2020, at 10:00 AM, Camila Villegas <[hidden email]> wrote:
>
> ´╗┐Greetings
>
>
> My name is Camila Villegas, I  write to you about a fault that I found in
> the rugarch package and that I would like to discuss with you.
>
> For my master's research, I conducted simulations with the rugarch package
> to evaluate its operation with a TGARCH model (1,1).
>
> First I analyzed the convergence of the estimated parameters and they
> presented no problems. plus the mean square error decreased as the sample
> size increased.
>
> The validation of the modeling results (obtained by the "ugarchfit"
> function) I carried out by analyzing the residues generated by the
> "residuals" function. The simulated residues originally had zero mean and
> variance one, however, in the 10,000 simulations that I developed, the
> values of the variances of the residues generated by the "ugarchfit"
> function were significantly different from one.
>
> On the contrary, when calculating the residues "manually" and only using
> the parameters estimated by the package, we obtained means close to zero
> and variances close to one.
>
> With this last point, I observed a flaw in the residues delivered by the
> rugarch package for a TGARCH process (1,1), since they do not have the same
> variance with which they were simulated.
>
> Thanking your observations,
>
> Kind Regards.
>
> Camila Villegas Orellana
>
>    [[alternative HTML version deleted]]
>
> _______________________________________________
> [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.

_______________________________________________
[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.