用外部回归器模拟GARCH过程
我试图通过用外部回归器模拟GARCH过程,r,regression,finance,R,Regression,Finance,我试图通过ugarchpath函数用R的rugarch模拟sGARCH过程。我有一个ugarchspec类的模型规范对象,其平均值为外部回归系数(通过mean.model和external.regressors提供)。该对象的代码如下所示: temp_reg_spec <- ugarchspec( variance.model = list(garchOrder = c(1, 1)), mean.model = list(armaOrder = c(0, 0), inclu
ugarchpath
函数用R的rugarch
模拟sGARCH过程。我有一个ugarchspec
类的模型规范对象,其平均值为外部回归系数(通过mean.model
和external.regressors
提供)。该对象的代码如下所示:
temp_reg_spec <- ugarchspec(
variance.model = list(garchOrder = c(1, 1)),
mean.model = list(armaOrder = c(0, 0), include.mean = FALSE,
external.regressors = temp_data_right),
fixed.pars = list(
"omega" = omega,
"alpha1" = alpha1,
"beta1" = beta1,
"mxreg1" = mxreg1,
"mxreg2" = mxreg2,
"mxreg3" = mxreg3
)
)
我想我必须提供一个名为mexsimdata
的参数,但我尝试为它提供一个数据矩阵,一个TRUE
的列表,没有任何效果,我得到一个错误:
Error in .simregressors(model, mexsimdata, vexsimdata, N, n, m.sim, m) :
ugarchsim-->error: mexsimdata 1 has wrong no. of column
是否有人知道一种正确的方法来输入mexsimdata
参数
Error in .simregressors(model, mexsimdata, vexsimdata, N, n, m.sim, m) :
ugarchsim-->error: mexsimdata 1 has wrong no. of column