R 中 DCC Copula GARCH 模型的预测

Question

我正在尝试预测 Copula Garch 模型。我曾尝试将 dccforecast 函数与 cGARCHfit 一起使用，但事实证明是错误的，说 'dccforecast' 没有适用的方法应用于 class cGARCHfit 的对象。那么我们实际上如何预测 dcc copula garch 模型呢？

我有以下可重现的代码。

library(zoo)
library(rugarch)
library(rmgarch)
data("EuStockMarkets")
EuStockLevel <- as.zoo(EuStockMarkets)[,c("DAX","CAC","FTSE")]
EuStockRet <- diff(log(EuStockLevel))

# DCC timecopula MVN

  uspec = ugarchspec(mean.model = list(armaOrder = c(0,0)), variance.model = list(garchOrder = c(1,1), model = "sGARCH", variance.targeting=FALSE), distribution.model = "norm")
  spec1 = cgarchspec(uspec = multispec( replicate(3, uspec) ), asymmetric = TRUE,  distribution.model = list(copula = "mvnorm", method = "Kendall", time.varying = TRUE, transformation = "parametric"))
  fit1 = cgarchfit(spec1, data = EuStockRet, cluster = NULL, solver.control=list(trace=1))
  print(fit1)  

 > fit.copula = cgarchfit(spec1, data = EuStockRet, out.sample = 120, solver = "solnp", solver.control =list(),fit.control = list(eval.se = TRUE, stationarity = TRUE, scale = FALSE),cluster = NULL, fit =NULL, VAR.fit = NULL)
 > dcc.copula.focast=dccforecast(fit.copula, n.ahead = 1, n.roll = 0) 
   Error in UseMethod("dccforecast") : no applicable method for 'dccforecast' applied to an object of class "c('cGARCHfit', 'mGARCHfit', 'GARCHfit', 'rGARCH')"

感谢您的帮助。

谢谢

Answer 1

DCC 预测仅适用于 dccfits。您可以尝试使用 cGARCHsim 函数或放弃 Kendall 方法并使用 dccfit。如果你想预测未来更长的时间，使用 cGARCHsim 进行预测可能会很痛苦。

参见：

??cGARCHsim

Details

Since there is no explicit forecasting routine, the user should use this method >for incrementally building up n-ahead forecasts by simulating 1-ahead, >obtaining the means of the returns, sigma, Rho etc and feeding them to the next >round of simulation as starting values. The ‘rmgarch.tests’ folder contains >specific examples which illustrate this particular point.

R 中 DCC Copula GARCH 模型的预测

Forecasting for DCC Copula GARCH model in R

r

forecasting

portfolio

multivariate-testing