Duco, Try the harModel in the highfrequency package and compare with the realGARCH. If you email me off-list the data I can investigate if something is amiss.
Best, Alexios On 17/02/2014 12:51, Duco van Rossem wrote: > Hi Alexios, > > Thanks for the fast reply, to answer your questions: > > Did you first try a (1,1)-Normal model? Yes- I did try simpler models > and its the same story. I also used the data you use on your blog > (spyreal) and found that the fitted and underlying measure are > 'overlapping'. So in the spyreal data there is no structural difference > as there is in my data. > > Did you expect them to have the same values? I was actually not sure > whether to expect fitted sigma and realizedVol measure to have the same > value. This was part of my question. But given that you say that > realGARCH is first and foremost an GARCH model augmented with the > realized measure, - I guess I should not expect them to have the same > value. As I understand you now, realGARCH is not a model for the > realized measure (which is what I was after). > > Regards, > Duco > > > >> Subject: Re: [R-SIG-Finance] ruGARCH realGARCH: Comparing sigma() with > realizedVol input >> From: [email protected] >> Date: Mon, 17 Feb 2014 10:49:53 +0000 >> CC: [email protected]; [email protected] >> To: [email protected] >> >> Did you expect them to have the same values? This is first and > foremost a GARCH model augmented with the realized measure. Did you read > the blog post and vignette first? >> >> Beyond that, it is difficult to comment without looking at your data > (reproducible code). >> Did you first try a (1,1)-Normal model (to compare the likelihoods in > case the model converged to a non-global optimum)? >> >> -Alexios >> >> On 17 Feb 2014, at 10:30, Duco van Rossem <[email protected]> wrote: >> >> > Dear list, >> > I am trying to compare the fitted sigma of the realGARCH model with > my realized volatility input. However these two time series have > completely different values. My realizedVol input has a values of around > 0.004-0.010, while the fitted sigma output has values of around > 0.001-0.003 and I am trying to understand why. >> > Below I walk through my code: >> > My model specification fitting below, where,return_c2casxts - daily > close-to-close return object (an xts object)RVar_BN2008 - Daily realized > variance measure (using realized kernel of Bandorff Nielsen 2008) >> > spec.realGARCH21 <- ugarchspec(variance.model = list(model = > "realGARCH", garchOrder = c(2,1)), mean.model = list(armaOrder = > c(1,1)), distribution.model = > "std")garch_model<-ugarchfit(spec.realGARCH21, return_c2casxts, solver = > 'hybrid', realizedVol=sqrt(RVar_BN2008)) >> > RVolfitted<-garch_model@fit$sigma >> > >> > Now comparing RVolfitted and sqrt(RVar_BN2008)below I have > completely different values throughput the series (3500 days in total). >> > RVolfitted:" 0.0020383691 0.0018783530 0.0020688548 0.0015357892 > 0.0016052453 0.0016191145sqrt(RVar_BN2008): 0.006596078 0.008683373 > 0.004344591 0.006393453 0.006223041 0.008463817 >> > Is this a conceptual issue on my part on what sigma signifies here? > How can I obtain fitted values corresponding to the realizedVol input? >> > Best Regards,Duco >> > [[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.
