Hi there, I was trying to redo in R excel exercises from Peter F. Christoffersen's book Elements of Financial Risk Management.
I have different results for problem 3 on page 92 (chapter 4) You can read it here: http://books.google.rs/books?id=YkcMBGYbRasC&printsec=frontcover&dq=Elements+of+Financial+Risk+Management&hl=sr&sa=X&ei=K676U6PEJIb6PKWsgZAD&ved=0CBwQ6AEwAA#v=onepage&q&f=false Here is my R code: ################################################# library(gdata) library(rugarch) # I downloaded data directly from book's companion site# data=read.xls("http://booksite.elsevier.com/ 9780123744487/chapter_data_results/ Chapter4_Results.xls",perl="C:\\Perl64\\bin\\perl.exe", sheet=3) # where perl="C:\\Perl64\\bin\\perl.exe" is location of pearl.exe file on my machine,on your's it may differ # sandp=as.data.frame(data[,2]) returns=diff(log(sandp)) vix=as.data.frame(data[-1,4]) #scale to one day ex.reg=(vix^2)/252 spec=ugarchspec(variance.model=list(model="fGARCH",garchOrder=c(1,1),submodel="NAGARCH", external.regressors=ex.reg),mean.model=list(armaOrder=c(0,0),include.mean=F)) result=(ugarchfit(spec,returns)) coef(result) likelihood(result) # If you download excel sheet from http://booksite.elsevier.com/9780123744487/chapter_data_results/Chapter4_Results.xls #You'll see the difference in results in maximum likelihoods. #SO,AM I DOING SOMETHING WRONG OR IS THIS JUST A NUMERICAL ERROR?? #(This may be a amateur question and I apologize for that) but I'm not shore can I use implied volatility as an external regressor like I did here? [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org 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.
