iClick.GARCH {iClick} | R Documentation |
iClick Output GUI for Univariate GARCH Models
Description
This GUI makes GARCH estimation of comparison easy. With a pre-selected GARCH type, it automatically fits eight probability distributions and conducts all diagnostic tests with a Click.
Usage
iClick.GARCH(dat, meanEQ = meanEQ, garchEQ = garchEQ, n.ahead = 15)
Arguments
dat |
Time series object, xts. |
meanEQ |
Specification of mean equation. |
garchEQ |
Specification of variance equation. |
n.ahead |
Number of out-of-sample forecasting period. |
Details
This GUI fits 8 distributions for univariate GARCH with pre-selected GARCH types, and returns a 54-button GUI output. The outputs can be individually saved as .RData file for later use, the last row is the save button.The saved filename is automatically generated once clicked, in addition, corresponding .csv files will be generated also.
The 54-button GUI is divided into 9 panes, and the last pane collects coefficient outputs and diagnostic tests together, which aims to make estimation comparison easy.
Value
Fitted GARCH regression output.
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University
See Also
library(rugarch)
Examples
##==External data
data("world20")
y=na.omit(diff(log(world20[,1])))
##== Simulation data
#dat=rnorm(200,5,1)
#y=ts(dat, start = c(1970, 1), frequency = 12)
meanEQ=list(AR=1,MA=0,Exo=NULL, autoFitArma=FALSE,arfimaDiff=FALSE,archM=FALSE)
# If there are external regressors X, put them as Exo=X
# autoFitArma=TRUE, If you want to fit arma automatically.
# arfimaDiff=TRUE,to take ARFIMA difference
# archM=TRUE, to estimate GARCH-in-mean
garchEQ=list(Type="sGARCH",P=1,Q=1, exo=NULL)
# Type: "sGARCH","eGARCH","gjrGARCH","iGARCH","apGARCH"
# please check rugarch for details.
# P is the ARCH order
# Q is the GARCH order
#iClick.GARCH(y,meanEQ, garchEQ, n.ahead=15)
# This computation takes more than 6 seconds, hence I added a # to block it.