GARCH parameter estimation and prediction in R with rugarch package

Jewish style

I have a problem with parameter estimation and prediction of a GARCH model. I have a time series of volatility starting in 1996 and starting in 2009. I try to estimate the parameters using the ugarchspecsum ugarchfitfunction :

garch1.1 <- ugarchspec(variance.model=list(model="sGARCH", garchOrder=c(1,1)),mean.model=list(armaOrder=c(0,0)),distribution="std")
garch1.1fit <- ugarchfit(spec=garch1.1,data=RV)

The results seem to be fine, so I go ahead and make predictions. I want to use ugarchforecastor ugarchrollfunction. However, when I try to do this, I realize they have the wrong date. For example, if I try to do a simple prediction like

forecast <- ugarchforecast(garch1.1fit,n.ahead=2)

I get the following results:

0-roll forecast [T0=1979-04-05 01:00:00]:
    Series     Sigma
T+1  5.373e-05 3.733e-05
T+2  5.373e-05 3.762e-05

So my question is: why does R say T0 = 1979? This is incorrect because my data starts in 1996 and ends in 2009. When I look at the residuals of garch1.1fit, the dates are also wrong. What is the problem

cure

I'm not sure which object you're using as RV, but I'm assuming it's a numeric vector. Package rugarch works better with xtsobjects supported by the package xts.

The following code does the job:

require(xts)

time <- #put here time vector from your data
RV.xts <- na.omit(xts(x = RV, order.by = time))

Then change your code to RVthe new object RV.xts:

garch1.1 <- ugarchspec(variance.model=list(model="sGARCH", garchOrder=c(1,1)),
                       mean.model=list(armaOrder=c(0,0)),
                       distribution="std")
garch1.1fit <- ugarchfit(spec=garch1.1,data=RV.xts)
forecast <- ugarchforecast(garch1.1fit,n.ahead=2)

The code I've provided does two things: first, it xtsuses to make an object time. This object will tell your ugarchfit()function what time it is for this model. Second, it ignores NA data that may ugarchfit()not be handled .

xtsDetermine if the object connection date is correct by checking the following :

head(RV.xts)
tail(RV.xts)

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