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

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.

1 | ```
iClick.GARCH(dat, meanEQ = meanEQ, garchEQ = garchEQ, n.ahead = 15)
``` |

`dat` |
Time series object, xts. |

`meanEQ` |
Specification of mean equation. |

`garchEQ` |
Specification of variance equation. |

`n.ahead` |
Number of out-of-sample forecasting period. |

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.

Fitted GARCH regression output.

Ho Tsung-wu <[email protected]>, College of Management, National Taiwan Normal University

library(rugarch)

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 | ```
##==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.
``` |

iClick documentation built on Nov. 22, 2018, 5:05 p.m.

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.