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#################################################################################
##
## R package rugarch by Alexios Ghalanos Copyright (C) 2008-2013.
## 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.
##
#################################################################################
# bootstrap
rugarch.test12a = function(cluster=NULL)
{
tic = Sys.time()
#cat("\nrugarch-->test12-1: Partial Bootstrap\n")
data(sp500ret)
spec = ugarchspec(variance.model=list(model="csGARCH"), distribution="std")
fit = ugarchfit(spec, sp500ret, out.sample=500)
bootp = ugarchboot(fit, method = c("Partial", "Full")[1],
n.ahead = 500, n.bootpred = 500,
cluster = cluster, verbose = TRUE)
options(width=120)
zz <- file("test12a-1.txt", open="wt")
sink(zz)
show(bootp)
sink(type="message")
sink()
close(zz)
options(width=120)
zz <- file("test12a-2.txt", open="wt")
sink(zz)
# n.bootpred by n.ahead matrix:
cat("\nSeries Forecasts:\n")
print(head(ser<-as.data.frame(bootp, which = "series", type = "raw")))
cat("\nSeries Summary:\n")
print(as.data.frame(bootp, which = "series", type = "summary"))
cat("\nQuantile Summary:\n")
print(as.data.frame(bootp, which = "series", type = "q", qtile= c(0.25, 0.75)))
sink(type="message")
sink()
close(zz)
options(width=120)
zz <- file("test12a-3.txt", open="wt")
sink(zz)
# n.bootpred by n.ahead matrix:
cat("\nSigma Forecasts:\n")
print(head(sig<-as.data.frame(bootp, which = "sigma", type = "raw")))
cat("\nSigma Summary:\n")
print(as.data.frame(bootp, which = "sigma", type = "summary"))
sink(type="message")
sink()
close(zz)
postscript("test12a-1.eps")
plot(bootp, which = "all")
dev.off()
toc = Sys.time()-tic
cat("Elapsed:", toc, "\n")
return(toc)
}
rugarch.test12b = function(cluster=NULL)
{
tic = Sys.time()
#cat("\nrugarch-->test12-2: Full Bootstrap\n")
data(sp500ret)
spec = ugarchspec(variance.model=list(model="csGARCH"), distribution="std")
fit = ugarchfit(spec, sp500ret, out.sample=10)
bootp = ugarchboot(fit, method = c("Partial", "Full")[2],
n.ahead = 10, n.bootpred = 500, n.bootfit = 100,
cluster = cluster)
options(width=120)
zz <- file("test12b-1.txt", open="wt")
sink(zz)
show(bootp)
sink(type="message")
sink()
close(zz)
options(width=120)
zz <- file("test12b-2.txt", open="wt")
sink(zz)
# n.bootpred by n.ahead matrix:
cat("\nSeries Forecasts:\n")
print(head(ser<-as.data.frame(bootp, which = "series", type = "raw")))
cat("\nSeries Summary:\n")
print(as.data.frame(bootp, which = "series", type = "summary"))
cat("\nQuantile Summary:\n")
print(as.data.frame(bootp, which = "series", type = "q", qtile= c(0.25, 0.75)))
sink(type="message")
sink()
close(zz)
options(width=120)
zz <- file("test12b-3.txt", open="wt")
sink(zz)
# n.bootpred by n.ahead matrix:
cat("\nSigma Forecasts:\n")
print(head(sig<-as.data.frame(bootp, which = "sigma", type = "raw")))
cat("\nSigma Summary:\n")
print(as.data.frame(bootp, which = "sigma", type = "summary"))
sink(type="message")
sink()
close(zz)
postscript("test12b-1.eps")
plot(bootp, which = "all")
dev.off()
toc = Sys.time()-tic
cat("Elapsed:", toc, "\n")
return(toc)
}
rugarch.test12c = function(cluster=NULL)
{
tic = Sys.time()
#cat("\nrugarch-->test12-3: Partial Bootstrap/SPD\n")
data(sp500ret)
library(spd)
spec = ugarchspec(variance.model=list(model="csGARCH"), distribution="std")
fit = ugarchfit(spec, sp500ret, out.sample=125)
bootp = ugarchboot(fit, method = c("Partial", "Full")[1],
sampling = "spd", n.ahead = 125, n.bootpred = 500,
cluster = cluster)
options(width=120)
zz <- file("test12c-1.txt", open="wt")
sink(zz)
show(bootp)
sink(type="message")
sink()
close(zz)
options(width=120)
zz <- file("test12c-2.txt", open="wt")
sink(zz)
# n.bootpred by n.ahead matrix:
cat("\nSeries Forecasts:\n")
print(head(ser<-as.data.frame(bootp, which = "series", type = "raw")))
cat("\nSeries Summary:\n")
print(as.data.frame(bootp, which = "series", type = "summary"))
cat("\nQuantile Summary:\n")
print(as.data.frame(bootp, which = "series", type = "q", qtile= c(0.25, 0.75)))
sink(type="message")
sink()
close(zz)
options(width=120)
zz <- file("test12c-3.txt", open="wt")
sink(zz)
# n.bootpred by n.ahead matrix:
cat("\nSigma Forecasts:\n")
print(head(sig<-as.data.frame(bootp, which = "sigma", type = "raw")))
cat("\nSigma Summary:\n")
print(as.data.frame(bootp, which = "sigma", type = "summary"))
sink(type="message")
sink()
close(zz)
postscript("test12c-1.eps")
plot(bootp, which = "all")
dev.off()
toc = Sys.time()-tic
cat("Elapsed:", toc, "\n")
return(toc)
}
rugarch.test12d = function(cluster=NULL)
{
tic = Sys.time()
#cat("\nrugarch-->test12-3: Partial Bootstrap/Kernel\n")
data(sp500ret)
library(ks)
spec = ugarchspec(variance.model=list(model="csGARCH"), distribution="std")
fit = ugarchfit(spec, sp500ret, out.sample=125)
bootp = ugarchboot(fit, method = c("Partial", "Full")[1],
sampling = "kernel", n.ahead = 125, n.bootpred = 500,
cluster = cluster)
options(width=120)
zz <- file("test12d-1.txt", open="wt")
sink(zz)
show(bootp)
sink(type="message")
sink()
close(zz)
options(width=120)
zz <- file("test12d-2.txt", open="wt")
sink(zz)
# n.bootpred by n.ahead matrix:
cat("\nSeries Forecasts:\n")
print(head(ser<-as.data.frame(bootp, which = "series", type = "raw")))
cat("\nSeries Summary:\n")
print(as.data.frame(bootp, which = "series", type = "summary"))
cat("\nQuantile Summary:\n")
print(as.data.frame(bootp, which = "series", type = "q", qtile= c(0.25, 0.75)))
sink(type="message")
sink()
close(zz)
options(width=120)
zz <- file("test12d-3.txt", open="wt")
sink(zz)
# n.bootpred by n.ahead matrix:
cat("\nSigma Forecasts:\n")
print(head(sig<-as.data.frame(bootp, which = "sigma", type = "raw")))
cat("\nSigma Summary:\n")
print(as.data.frame(bootp, which = "sigma", type = "summary"))
sink(type="message")
sink()
close(zz)
postscript("test12d-1.eps")
plot(bootp, which = "all")
dev.off()
toc = Sys.time()-tic
cat("Elapsed:", toc, "\n")
return(toc)
}
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