Hi all, The problem came from the fact that the size of the squared daily returns were structurally lower than the realized variance measure (as pointed out to me by Alexios). After comparing my data with data from http://realized.oxford-man.ox.ac.uk/ it turned out that my daily return data was faulty. With correct return values I applied the model successively and FYI- realGARCH did better than HAR-RV (in terms of Heteroskedastic Consistent Root Mean Square Error, HRMSE) Thank you for your time Alexios . Regards,Duco > Date: Mon, 17 Feb 2014 13:13:46 +0000 > From: [email protected] > To: [email protected] > CC: [email protected] > Subject: Re: [R-SIG-Finance] ruGARCH realGARCH: Comparing sigma() with > realizedVol input > > 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. > >> > > >> > [[alternative HTML version deleted]]
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