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Re: Garch fitting with mean regressors
by Stefano Balietti
::
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On Wed, Apr 16, 2008 at 2:36 PM, Diethelm Wuertz <wuertz@...>
wrote:
> Yohan Chalabi wrote:
>
> > "SB" == "Stefano Balietti" <futur.dorko@...>
> > > > > > on Tue, 15 Apr 2008 21:27:39 +0200
> > > > > >
> > > > > >
> > > > >
> > SB> Hi,
> > SB> I'm looking for R packages able to perform GARCH-like fitting
> > SB> (estimates),
> > SB> such as fGarch, tseries and FinTS, but that allow me to
> > SB> specify extra
> > SB> regressors for the mean equation. It doesn't seem to me
> > SB> that the
> > SB> above-mentioned packages permit that, but maybe I'm
> > SB> wrong. However, does
> > SB> anyone have any suggestion?
> > SB> SB> Cheers,
> > SB> SB> Stefano Balietti
> > SB> As far as fGarch is concerned, you can only specify the arma
> > regressors
> > for the mean equation. However, the functions in fGarch are quite
> > modular and it should not be too much of work to add new regressor to
> > the mean equation.
> > regards,
> > Yohan
> >
> >
> >
> >
> What about a two stage process ?
>
> To fit first an ARMA model with regressors, and then to fit
> the residuals with a ARMA-GARCH model ?
>
> This idea is similar like fitting independently first an ARMA
> and then a pure GARCH process.
>
> Diethelm
>
> I'm sorry for haven't explained it before, but I'm afraid this proceduredoes not make my case, because I need to test the accuracy of my code, which
basically is a simple free implementation of a garch-like maximum likelihood
estimation. It will be part of my degree thesis. With any 2 stage process I
may get similar estimations, but not exactly the same and therefore I could
not say (almost) anything about the goodness of the code. I guess there is
no free solution to my problem yet, but please correct me if I'm wrong.
Cheers,
Stefano
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wrote:
> Yohan Chalabi wrote:
>
> > "SB" == "Stefano Balietti" <futur.dorko@...>
> > > > > > on Tue, 15 Apr 2008 21:27:39 +0200
> > > > > >
> > > > > >
> > > > >
> > SB> Hi,
> > SB> I'm looking for R packages able to perform GARCH-like fitting
> > SB> (estimates),
> > SB> such as fGarch, tseries and FinTS, but that allow me to
> > SB> specify extra
> > SB> regressors for the mean equation. It doesn't seem to me
> > SB> that the
> > SB> above-mentioned packages permit that, but maybe I'm
> > SB> wrong. However, does
> > SB> anyone have any suggestion?
> > SB> SB> Cheers,
> > SB> SB> Stefano Balietti
> > SB> As far as fGarch is concerned, you can only specify the arma
> > regressors
> > for the mean equation. However, the functions in fGarch are quite
> > modular and it should not be too much of work to add new regressor to
> > the mean equation.
> > regards,
> > Yohan
> >
> >
> >
> >
> What about a two stage process ?
>
> To fit first an ARMA model with regressors, and then to fit
> the residuals with a ARMA-GARCH model ?
>
> This idea is similar like fitting independently first an ARMA
> and then a pure GARCH process.
>
> Diethelm
>
> I'm sorry for haven't explained it before, but I'm afraid this procedure
basically is a simple free implementation of a garch-like maximum likelihood
estimation. It will be part of my degree thesis. With any 2 stage process I
may get similar estimations, but not exactly the same and therefore I could
not say (almost) anything about the goodness of the code. I guess there is
no free solution to my problem yet, but please correct me if I'm wrong.
Cheers,
Stefano
[[alternative HTML version deleted]]
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R-SIG-Finance@... mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only.
-- If you want to post, subscribe first.
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