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.
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| #install.packages("xtsExtra", repos="http://R-Forge.R-project.org") | |
| require(quantmod) | |
| require(rugarch) | |
| require(xtsExtra) #if you get an error, see first line and install from r-forge | |
| getSymbols("DEXJPUS",src="FRED") | |
| DEXJPUS<-1/to.weekly(DEXJPUS) | |
| ugarch.panel <- function(index,x,type,cex,col,pch,...){ | |
| spec = ugarchspec( | |
| variance.model=list(garchOrder=c(1,1)), | |
| mean.model=list(armaOrder=c(1,1), include.mean=T)) | |
| #get ugarchroll; I cannot say I completely understand what I'm doing here | |
| ugr <- ugarchroll(spec, | |
| data = na.omit(x), | |
| forecast.length = floor(NROW(na.omit(x)) / 1000) * 1000, | |
| n.ahead = 1, | |
| refit.every = 50, | |
| refit.window = "moving") | |
| #get garch coefficients | |
| ugr.var <- merge(x,as.data.frame(ugr,which="VaR")) | |
| ugr.var <- as.xts(apply(ugr.var,MARGIN=2,na.fill,fill=c(0,"extend")),order.by=index(x))[,2:4] | |
| print(tail(ugr.var)) | |
| default.panel(index,ugr.var[,3],type="h",cex,pch,col,...) | |
| default.panel(index,ugr.var[,1],type="l",cex,pch,col="red",...) | |
| default.panel(index,ugr.var[,2],type="l",cex,pch,col="gray50",...) | |
| text(x=index[1],y=par("usr")[4],"VaR from rugarch ugarchroll",adj=c(0,1),cex=0.8) | |
| } | |
| plot.xts(na.omit(merge(DEXJPUS[,4],ROC(DEXJPUS[,4],n=1,type="discrete"))), | |
| screens=c(1,2), | |
| minor.ticks=FALSE, major.format="%Y", | |
| panel=c(default.panel,ugarch.panel), | |
| main="Japanese Yen (source: St. Louis Federal Reserve)") | |
