Friday, August 17, 2012

GARCH Panel in plot.xts

I’m clearly out of my realm of competence with most of the rugarch functions, but I thought it might be nice to provide an example combining plot.xts and uGARCHroll.

image

R code from GIST:

7 comments:

  1. Hello
    I am getting:
    Error in plot.default(xycoords$x, xycoords$y, type = type, axes = FALSE, :
    argument 7 matches multiple formal arguments
    In addition: Warning message:
    In plot.xts(na.omit(merge(DEXJPUS[, 4], ROC(DEXJPUS[, 4], n = 1, :
    only the univariate series will be plotted

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    Replies
    1. Trace back in klr's blog posts, and you'll see that he's using a new version of plot.xts that is still being worked on quite heavily. Make sure you're using the most recent version from svn in the package xtsExtra on r-forge. pcc

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    2. That looks like you're using xts:::plot.xts. You need to use xtsExtra:::plot.xts.

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  2. thx for the post.. oddly i get the error 'Error in plot.xts(na.omit(merge(DEXJPUS[, 4], ROC(DEXJPUS[, 4], n = 1, :
    object 'default.panel' not found'

    even just copy/paste your code. could not find where default.panel function was coming from.

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  3. see above, or if the install from r-forge does not work, go to https://r-forge.r-project.org/scm/viewvc.php/pkg/xtsExtra/R/plot.R?view=markup&root=xts and copy/paste into a script. Run or source that copied/pasted code.

    default.panel comes from xtsExtra::plot.xts

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  4. weird, i have xtsExtra installed and loaded.. but yes when i ran the plot.R code separately everything worked fine after that. will keep banging around in the repository and looking there if stuff isn't working for this new package. thx again.

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  5. This isn't working. I have all the packages in their latest versions.

    The problem is with ... ugarch.panel, it's not doing the math right ...

    Error in xts(x, order.by = order.by, frequency = frequency, ...) :
    NROW(x) must match length(order.by)
    In addition: There were 17 warnings (use warnings() to see them)
    Warning messages:
    1: In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, ... : NaNs produced
    2: In arima(data, order = c(modelinc[2], 0, modelinc[3]), ... :
    possible convergence problem: optim gave code=1
    3: In .makefitmodel(garchmodel = "sGARCH", f = .sgarchLLH, ... : NaNs produced
    etc. ...: NaNs produced

    ReplyDelete