Thanks Stefan, email me off list and I'll help you recreate the results. Cheers,
Alexios Sent from my iPhone > On 24 Sep 2014, at 22:22, <stefan.jaesc...@rwe.com> wrote: > > It was not my intention to criticize, not at all. You shouldn't take this > personally. On the other hand, you are encouraging to use this mailing list > for asking for support. Anyway, it is a great job you are doing and the > community is definitely grateful for having the chance to apply the provided > functionality. > > -----Ursprüngliche Nachricht----- > Von: Alexios Ghalanos [mailto:alex...@4dscape.com] > Gesendet: Mittwoch, 24. September 2014 21:14 > An: Jäschke, Stefan > Cc: <r-sig-finance@r-project.org> > Betreff: Re: [R-SIG-Finance] Update of rugarch package yields different > results / questions on stationarity conditions > > I'll need to check what you sent me then against the changes made. As for > being irritated (and saying so publicly)...well, I've strived over the years > to produce an open source alternative for GARCH modelling with very few > contributions, but many requests for help both publicly and privately. > Perhaps you'll be less irritated buying an off the shelf program with paid > support. > > Alexios > >> On 24 Sep 2014, at 22:02, <stefan.jaesc...@rwe.com> wrote: >> >> Alexios, you provided me with this estimates back in a mail on Tues. >> 29.10.2013 13:46. And I could reproduce those values, now I am a bit >> irritated. Unfortunately, I am not able to rebuilt the "old" rugarch version. >> >> -----Ursprüngliche Nachricht----- >> Von: alexios ghalalanos [mailto:alex...@4dscape.com] >> Gesendet: Mittwoch, 24. September 2014 19:47 >> An: Jäschke, Stefan; r-sig-finance@r-project.org >> Cc: alex...@4dscape.com >> Betreff: Re: [R-SIG-Finance] Update of rugarch package yields >> different results / questions on stationarity conditions >> >> If I were to actually use your previous estimates and filter the data you >> provided: >> >> >>> cf=list(mxreg1=-0.3644, >> omega=-0.3081, >> alpha1=-0.1288, >> alpha2=-0.1308, >> gamma1=0.2575, >> gamma2=0.2340, >> beta1=-0.6917, >> beta2=0.9764, >> beta3=0.6738, >> skew=0.9659, >> shape=1.9107) >> >>> setfixed(spec)<-cf >>> likelihood(ugarchfilter(spec, nrenditen)) >> [1] 1051.357 >> >> This seems much lower and considerably far from what the estimated model >> gives. Are you sure you provided us with the correct parameter values and >> the same dataset you used before? >> >> -Alexios >> >> >>> On 24/09/2014 20:29, alexios ghalalanos wrote: >>> Unless you tell us what the previous version you had installed was, I >>> really can't say for sure. >>> >>> 1. Is for the stationarity of the eGARCH model. >>> 2. Are the parameter bounds. >>> >>> You are free to change both: >>> 1. can be switched off by setting fit.control$stationarity=0 2. can >>> be changes to whatever you want by using the setbounds<- method on >>> the specification. >>> >>> As far as I know, you can take the ARMA and GARCH stationarity >>> conditions separately, as you can also estimate them in 2 steps >>> without too much loss in efficiency. If you want to see the degree of >>> interaction between the 2, then use the ugarchdistribution method >>> which includes a number of interesting parameter interaction plots >>> (and you can also investigate others by working with the returned >>> parameter distribution data). >>> >>> If you feel there is some bug somewhere in the code or you have some >>> suggestion how to make the estimation of a certain model 'better', >>> then by all means feel free to contribute a detailed patch. >>> >>> -Alexios >>> >>> >>>> On 24/09/2014 20:01, stefan.jaesc...@rwe.com wrote: >>>> Hi there, >>>> >>>> >>>> >>>> 1) I have recently updated the rugarch package to version 1.3-3 (I >>>> do not remember the previous number) and I am surprised to see >>>> different results when fitting a dataset, the loglikelihood is lower >>>> than before and the beta parameters have changed significantly. >>>> Below I put the code from the fit >>>> >>>> >>>> >>>> Data <- read.csv("WTI_logreturnsUS.csv", header = TRUE, sep = ";", >>>> dec=".") >>>> >>>> renditen <- Data$LogReturnsWTI >>>> >>>> Data_WTI <- renditen >>>> >>>> nrenditen = renditen - mean(renditen) >>>> >>>> external <- Data$LogReturnsStocks >>>> >>>> dim(external) <- c(length(external),1) >>>> >>>> mean_WTI <- mean(renditen) >>>> >>>> >>>> >>>> spec = ugarchspec(variance.model = list(model = "eGARCH", garchOrder >>>> = c(2,3), submodel = NULL, external.regressors = NULL, >>>> variance.targeting = FALSE), mean.model =list(armaOrder = c(0, 0), >>>> include.mean = FALSE, external.regressors = external), >>>> distribution.model = "sged") >>>> >>>> fit <- ugarchfit(spec,nrenditen) >>>> >>>> >>>> >>>> >>>> >>>> likelihood 2326.425 2319.141 >>>> >>>> >>>> >>>> mxreg1 -0.3644 -0.3124 >>>> >>>> omega -0.3081 -0.0474 >>>> >>>> alpha1 -0.1288 -0.1090 >>>> >>>> alpha2 -0.1308 0.0644 >>>> >>>> gamma1 0.2575 0.2189 >>>> >>>> gamma2 0.2340 -0.1441 >>>> >>>> beta1 -0.6917 0.9999 >>>> >>>> beta2 0.9764 0.4135 >>>> >>>> beta3 0.6738 -0.4199 >>>> >>>> skew 0.9659 0.9708 >>>> >>>> shape 1.9107 1.9373 >>>> >>>> >>>> >>>> Why do I see these differences? >>>> >>>> >>>> >>>> 2) Why do we need the following two conditions for strict >>>> stationarity of an EGARCH(q,p) model? I do refer to the ARMA >>>> representation in Nelson (1991), Equation (2.3) >>>> >>>> >>>> >>>> a) min(Mod(polyroot(c(1, -betas)))) > 1 >>>> >>>> >>>> >>>> b) |beta_i| < 1, i = 1,.,p >>>> >>>> >>>> >>>> Whereas condition a) is clear to me (stationarity of AR processes), >>>> I don't see we should restrict the parameter |beta_i| < 1. Could >>>> somewhen help on that? Why are the parameters regarding q not >>>> involved in the conditions at all? >>>> >>>> >>>> >>>> 3) In general, I am aware of conditions for stationarity for >>>> conditional mean processes (e.g. ARMA-models) or conditional >>>> variance processes (e.g. GARCH-models). I am struggling a bit to >>>> find sufficient conditions for (strikt) stationarity in case of >>>> combinations. For instance, an ARMA(1,0)-GARCH(1,1) or >>>> ARMA(0,1)-EGARCH(2,3) model. Can I take the conditions for >>>> mean/variance separately and join them in the end? They should >>>> interact somehow, shouldn't they? If anybody could help me on that, I >>>> would be very pleased. >>>> >>>> >>>> >>>> Many thanks in advance! >>>> >>>> >>>> >>>> Mit freundlichen Grüßen / Kind regards >>>> >>>> >>>> >>>> *Stefan Jäschke* >>>> >>>> RWE Supply & Trading GmbH >>>> >>>> Performance Controlling CAO Gas & VAC (MFC-GV) >>>> >>>> Altenessener Str. 27 >>>> >>>> 45141 Essen >>>> >>>> Germany >>>> >>>> Phone +49 201 5179-1674 >>>> >>>> Email stefan.jaesc...@rwe.com >>>> <mailto:stefan.jaesc...@rwe.com> >>>> >>>> ____________________________________________________ >>>> >>>> >>>> >>>> Supervisory Board: Peter Terium (Chairman) >>>> >>>> Management Board: >>>> Stefan Judisch (CEO), >>>> Dr Markus Krebber, Alan Robinson >>>> Headquarters: Essen >>>> Registered at Local District Court, Essen Commercial Registry No.: >>>> HRB 14327 Sales Tax ID No.: DE 8130 22 070 >>>> >>>> >>>> >>>> Please consider the environment before printing this e-mail >>>> >>>> >>>> >>>> >>>> >>>> >>>> _______________________________________________ >>>> 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. >> >> _______________________________________________ >> 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. > > _______________________________________________ > 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. _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. 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