Comments (2)
Just checked your code and data. I think the fundamental problem is that you seem to feed the close price time series to the model.
The MSGARCH model is not meant to take price level as input but (log)returns data (or percentage changes). In that case you need to compute the return of time series.
We also multiply that new serie by 100 such that a value of 1 mean 1% change, this is for numerical stability.
from msgarch.
@htes5 please read carefully manuals
from msgarch.
Related Issues (20)
- A problem of backtesting
- File "EM.cpp" HOT 1
- Hello, how can i extract the standardised residuals in the MS-GARCH package? HOT 1
- Update package and website
- Extract standardized residuals HOT 2
- VaR and ES calculation HOT 1
- ExtractStateFit from FitMCMC HOT 2
- Regime specific standard deviation of residuals by using Volatility function HOT 1
- Error in postmp[posidx[j]] <- new.pos : The length of replacement parameter is zero
- matrix multiplication: problem with matrix inverse; suggest to use solve() instead HOT 7
- Problem when paralleling MSGARCH
- Fixed Transition Probability
- Problem with installation HOT 1
- Error: $ operator is invalid for atomic vectors HOT 2
- Extracting the forecasted probabilities from the predict function
- What does the PIT function return?
- Multiplicative Component GARCH
- Issues with using predict on double EGARCH specification
- Extract standardized residuals but with data having mean not equal to zero
Recommend Projects
-
React
A declarative, efficient, and flexible JavaScript library for building user interfaces.
-
Vue.js
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
-
Typescript
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
-
TensorFlow
An Open Source Machine Learning Framework for Everyone
-
Django
The Web framework for perfectionists with deadlines.
-
Laravel
A PHP framework for web artisans
-
D3
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
-
Recommend Topics
-
javascript
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
-
web
Some thing interesting about web. New door for the world.
-
server
A server is a program made to process requests and deliver data to clients.
-
Machine learning
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
-
Visualization
Some thing interesting about visualization, use data art
-
Game
Some thing interesting about game, make everyone happy.
Recommend Org
-
Facebook
We are working to build community through open source technology. NB: members must have two-factor auth.
-
Microsoft
Open source projects and samples from Microsoft.
-
Google
Google ❤️ Open Source for everyone.
-
Alibaba
Alibaba Open Source for everyone
-
D3
Data-Driven Documents codes.
-
Tencent
China tencent open source team.
from msgarch.