Blog Archives

Whats new in rugarch (ver 1.01-5)

February 27, 2013
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Whats new in rugarch (ver 1.01-5)

Since the last release of rugarch on CRAN (ver 1.0-16), there have been many changes and new features in the development version of the package (ver 1.01-5). First, development of the package (and svn) has been moved to google code from r-forge. Second, the package now features exclusive use of xts based time series for

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Does anything NOT beat the GARCH(1,1)?

January 7, 2013
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Does anything NOT beat the GARCH(1,1)?

In their paper on GARCH model comparison, Hansen and Lunde (2005) present evidence that among 330 different models, and using daily data on the DM/$ rate and IBM stock returns, no model does significantly better at predicting volatility (based on a realized measure) than the GARCH(1,1) model, for an out of sample period of about

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Does anything NOT beat the GARCH(1,1)?

January 7, 2013
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Does anything NOT beat the GARCH(1,1)?

In their paper on GARCH model comparison, Hansen and Lunde (2005) present evidence that among 330 different models, and using daily data on the DM/$ rate and IBM stock returns, no model does significantly better at predicting volatility (based on a realized measure) than the GARCH(1,1) model, for an out of sample period of about

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The GARCH-DCC Model and 2-stage DCC(MVT) estimation.

January 2, 2013
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The GARCH-DCC Model and 2-stage DCC(MVT) estimation.

This short demonstration illustrates the use of the DCC model and its methods using the rmgarch package, and in particular an alternative method for 2-stage DCC estimation in the presence of the MVT distribution shape (nuisance) parameter. The theoretical background and representation of the model is detailed in the package’s vignette. The dataset and period

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