Since version 1.0-11, the ugarchroll function only allows a rolling 1 ahead forecast (see Changelog). The alternative had become too complicated to accommodate in this function...you can however wrap your own rolling n-ahead function by combining ugarchfit and ugarchforecast.
-Alexios Sent from my iPhone On Oct 23, 2012, at 18:47, jaimie villanueva <[email protected]> wrote: > Hi R users, > > I've been trying to perform a backtesting procedure to check the goodness > of the estimates of a Garch(1,1) model, over a series of daily log returns. > > The Function I've been using is ugarchroll( ) from rugarch package. > > The code is: > > spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = > c(1,1)),mean.model = list(armaOrder = c(0,0), include.mean = > F),distribution.model = "norm") > bktest = ugarchroll(spec, data = Ut, n.ahead = 1,forecast.length = 10, > refit.every = 1, refit.window = "moving",solver = "solnp", calculate.VaR = > TRUE, VaR.alpha = c(0.005, 0.01, 0.05)) > > > What I've been trying to run is a moving window backtesting, with 1 day > ahead forecast, with 10 windows and re-fitting the model every day. > Up to here, everything is Ok and the results I obtained, make sense to me. > But, what If I would like to check, the goodness of a 1 year (250 days) > ahead forecast. (all the settings remain equal), instead of a 1 day ahead > forecast. > > When I run this, I obtained the following Error: > > Done!...all converged. > Error en `row.names<-.data.frame`(`*tmp*`, value = value) : > invalid 'row.names' length > Además: Mensajes de aviso perdidos > 1: In doTryCatch(return(expr), name, parentenv, handler) : > passing an object of type 'NULL' to .C (arg 8) is deprecated > 2: In doTryCatch(return(expr), name, parentenv, handler) : > passing an object of type 'NULL' to .C (arg 9) is deprecated > 3: In doTryCatch(return(expr), name, parentenv, handler) : > passing an object of type 'NULL' to .C (arg 8) is deprecated > 4: In doTryCatch(return(expr), name, parentenv, handler) : > passing an object of type 'NULL' to .C (arg 9) is deprecated > > > What does It really mean. It isn't possible to check the goodness of a 1 > year (250 days) ahead forecast ?? > > Any opinion would be greatful. > > Thanks in advanced > > Jaimie > > [[alternative HTML version deleted]] > > _______________________________________________ > [email protected] 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. _______________________________________________ [email protected] 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.
