R/garch.R

In risktoollib/RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

#' Wrapper for a Garch(1,1) returning either a plot or data.
#' @description Computes annualised Garch(1,1) volatilities using fGarch package.
#' @param x Wide dataframe with date column and single series (univariate). `tibble`
#' @param out "chart" to return `replot_xts` chart, "data" to return `xts` data or "fit" for `uGARCHfit` fit output
#' @returns `replot_xts` chart, `xts` data, or `uGARCHfit` fit
#' @export garch
#' @author Philippe Cote
#' @examples
#' \dontrun{
#' x <- dflong %>% dplyr::filter(series == "CL01")
#' x <- returns(df = x, retType = "rel", period.return = 1, spread = TRUE)
#' x <- rolladjust(x = x, commodityname = c("cmewti"), rolltype = c("Last.Trade"))
#' summary(garch(x = x, out = "fit"))
#' garch(x = x, out = "chart")
#' garch(x = x, out = "data")
#' }
garch <- function(x = x, out = TRUE) {
  if (!requireNamespace("rugarch", quietly = TRUE)) {
    stop("Package \"rugarch\" needed for this function to work. Please install it.",
      call. = FALSE
    )
  }

  x <- xts::as.xts(x[, 2], order.by = x$date)
  x <- x - mean(x)
  # fit <- fGarch::garchFit(~garch(1, 1), data = x, trace = FALSE)
  # if (xts::periodicity(x)$scale=="daily") {garchvol <- fit@sigma.t * sqrt(252)}
  # if (xts::periodicity(x)$scale=="weekly") {garchvol <- fit@sigma.t * sqrt(52)}
  # if (xts::periodicity(x)$scale=="monthly") {garchvol <- fit@sigma.t * sqrt(12)}
  fit <- rugarch::ugarchfit(data = x, spec = rugarch::ugarchspec(), solver = "hybrid")
  if (xts::periodicity(x)$scale == "daily") {
    garchvol <- fit@fit$sigma * sqrt(252)
  }
  if (xts::periodicity(x)$scale == "weekly") {
    garchvol <- fit@fit$sigma * sqrt(52)
  }
  if (xts::periodicity(x)$scale == "monthly") {
    garchvol <- fit@fit$sigma * sqrt(12)
  }

  voldata <- merge(x, garchvol)
  colnames(voldata) <- c("returns", "garch")
  if (out == "data") {
    return(voldata)
  } else if (out == "fit") {
    return(fit)
  } else {
    xts::plot.xts(voldata[, 2], main = paste("Period Returns and Annualized Garch(1,1) for", colnames(x)[1]), ylim = c(-max(abs(voldata[, 1])), max(abs(voldata))))
    xts::addSeries(voldata[, 1], type = "h", col = "blue")
  }
}