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#################################################################################
##
## R package rugarch by Alexios Galanos Copyright (C) 2008-2022.
## This file is part of the R package rugarch.
##
## The R package rugarch is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## The R package rugarch is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
#################################################################################
#################################################################################
# GARCH rolling test
#################################################################################
rugarch.test7a = function(cluster = NULL)
{
#cat("\nrugarch-->test7-1: Roll Test (apARCH)\n")
tic = Sys.time()
data(sp500ret)
spec = ugarchspec(
variance.model = list(model = "eGARCH"), distribution.model = "jsu")
roll = ugarchroll(spec, data = sp500ret, n.ahead = 1, n.start = 1000,
refit.every = 100, refit.window = "recursive",
cluster = cluster,
solver = "hybrid", fit.control = list(scale = 1),
solver.control = list(tol = 1e-5, delta = 1e-6, trace=0),
calculate.VaR = TRUE, VaR.alpha = c(0.01, 0.05))
postscript("test7a1.eps", width = 12, height = 8)
plot(roll, which = "all")
dev.off()
postscript("test7a2.eps", width = 12, height = 8)
plot(roll, which = 5)
dev.off()
z1 <- file("test7a1.txt", open="wt")
sink(z1)
report(roll, type = "VaR", VaR.alpha = 0.01, conf.level = 0.95)
sink(type="message")
sink()
close(z1)
z2 <- file("test7a2.txt", open="wt")
sink(z2)
report(roll, type = "fpm")
sink(type="message")
sink()
close(z2)
z3 <- file("test7a3.txt", open="wt")
sink(z3)
print(coef(roll)[[1]])
sink(type="message")
sink()
close(z3)
z4 <- file("test7a4.txt", open="wt")
sink(z4)
print(head(as.data.frame(roll, which = "density")))
print(tail(as.data.frame(roll, which = "density")))
sink(type="message")
sink()
close(z4)
z5 <- file("test7a5.txt", open="wt")
sink(z5)
print(head(as.data.frame(roll, which = "VaR")))
print(tail(as.data.frame(roll, which = "VaR")))
sink(type="message")
sink()
close(z5)
toc = Sys.time()-tic
cat("Elapsed:", toc, "\n")
return(toc)
}
rugarch.test7b = function(cluster = NULL)
{
#cat("\nrugarch-->test7-2: Roll and Resume Test\n")
tic = Sys.time()
data(sp500ret)
spec = ugarchspec(
variance.model = list(model = "sGARCH"), distribution.model = "jsu")
# create a solver control which is bound to fail
roll = ugarchroll(spec, data = sp500ret, n.ahead = 1, n.start = 1000,
refit.every = 250, refit.window = "moving",
cluster = cluster,
solver = "lbfgs", fit.control = list(scale = 1),
solver.control = list(trace=1),
calculate.VaR = TRUE, VaR.alpha = c(0.01, 0.05))
# see the warnings printed
roll2 = resume(roll, cluster = cluster,
solver = "hybrid", fit.control = list(scale = 1),
solver.control = list(trace=0))
# once more to fix the one remaining window with problems
roll2 = resume(roll2, cluster = cluster,
solver = "solnp", solver.control = list(trace=0,
rho=0.5, tol=1e-6, delta=1e-5))
z5 <- file("test7b.txt", open="wt")
sink(z5)
print(convergence(roll))
show(roll2)
print(convergence(roll2))
sink(type="message")
sink()
close(z5)
toc = Sys.time()-tic
cat("Elapsed:", toc, "\n")
return(toc)
}
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