iClick.GARCH: iClick Output GUI for Univariate GARCH Models

Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/iClick_GARCH.R

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

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iClick.GARCH(dat, meanEQ = meanEQ, garchEQ = garchEQ, n.ahead = 15)

Arguments

dat

dat has two forms:(1) It may be a 2-column data frame, with the 1-st column as the date string, and the 2nd column is the numeric return series. (2) It can also be created by a ts() object as a none daily time series. However, the ts object may not be suitable for some financial time series returns plot, for example, drawdown.

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 <[email protected]>

See Also

library(rugarch)

Examples

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##==External data
#data("returnsDaily24")
#y=returnsDaily24[,c(1,5)]

##== Simulation data
dat=rnorm(100,0.5,1)
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=10)

iClick documentation built on May 30, 2017, 12:04 a.m.