There are number of ways to learn chartseries.
getSymbols("^NSEI", from="2004-01-01", to=Sys.Date())
Warning message:
^NSEI contains missing values. Some functions will not work if objects contain missing values in the middle of the series. Consider using na.omit(), na.approx(), na.fill(), etc to remove or replace them.
> chartSeries(Cl(NSEI))
> ret <- dailyReturn(Cl(NSEI), type='log')
Warning message:
In to_period(xx, period = on.opts[[period]], ...) :
missing values removed from data
> par(mfrow=c(2,2))
> acf(ret, main="Return ACF");
> pacf(ret, main="Return PACF");
> acf(ret^2, main="Squared return ACF");
> pacf(ret^2, main="Squared return PACF")
> par(mfrow=c(1,1))
> m=mean(ret);s=sd(ret);
> par(mfrow=c(1,2))
> hist(ret, nclass=40, freq=FALSE, main='Return histogram');curve(dnorm(x,
+ mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> plot(density(ret), main='Return empirical distribution');curve(dnorm(x,
+ mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> par(mfrow=c(1,1))
> library("moments", lib.loc="~/R/win-library/3.6")
> kurtosis(ret)
daily.returns
15.66525
> plot(density(ret), main='Return EDF - upper tail', xlim = c(0.1, 0.2),
+ ylim=c(0,2));
> curve(dnorm(x, mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> plot(density(ret), xlim=c(-5*s,5*s),log='y', main='Density on log-scale')
Warning message:
In xy.coords(x, y, xlabel, ylabel, log) :
51 y values <= 0 omitted from logarithmic plot
> curve(dnorm(x, mean=m,sd=s), from=-5*s, to=5*s, log="y", add=TRUE,
+ col="red")
> qqnorm(ret);qqline(ret);
> ret.nsei <- dailyReturn(Cl(NSEI), type='log')
Warning message:
In to_period(xx, period = on.opts[[period]], ...) :
missing values removed from data
> chartSeries(ret.nsei)
> garch11.spec = ugarchspec(variance.model = list(model="sGARCH",
+ garchOrder=c(1,1)), mean.model = list(armaOrder=c(0,0)))
> nsei.garch11.fit = ugarchfit(spec=garch11.spec, data=ret.nsei)
> coef(nsei.garch11.fit)
mu omega alpha1 beta1
6.226368e-04 9.738143e-07 7.340533e-02 9.225699e-01
> vcov(nsei.garch11.fit)
[,1] [,2] [,3]
[1,] 2.943314e-08 -2.069908e-11 -2.613005e-07
[2,] -2.069908e-11 -6.676901e-13 -1.285983e-08
[3,] -2.613005e-07 -1.285983e-08 -1.598571e-04
[4,] 2.570081e-07 1.212953e-08 1.617615e-04
[,4]
[1,] 2.570081e-07
[2,] 1.212953e-08
[3,] 1.617615e-04
[4,] -1.580710e-04
infocriteria(nsei.garch11.fit)
Akaike -6.169846
Bayes -6.161671
Shibata -6.169850
Hannan-Quinn -6.166902
> newsimpact(nsei.garch11.fit)
$zy
[1] 0.0068306741 0.0065664418 0.0063076021
[4] 0.0060541548 0.0058061001 0.0055634378
[7] 0.0053261681 0.0050942908 0.0048678060
[10] 0.0046467138 0.0044310140 0.0042207067
[13] 0.0040157919 0.0038162696 0.0036221398
[16] 0.0034334025 0.0032500577 0.0030721054
[19] 0.0028995455 0.0027323782 0.0025706034
[22] 0.0024142210 0.0022632312 0.0021176338
[25] 0.0019774290 0.0018426166 0.0017131967
[28] 0.0015891694 0.0014705345 0.0013572921
[31] 0.0012494422 0.0011469848 0.0010499199
[34] 0.0009582475 0.0008719676 0.0007910802
[37] 0.0007155852 0.0006454828 0.0005807729
[40] 0.0005214554 0.0004675305 0.0004189980
[43] 0.0003758581 0.0003381106 0.0003057557
[46] 0.0002787932 0.0002572232 0.0002410457
[49] 0.0002302607 0.0002248682 0.0002248682
[52] 0.0002302607 0.0002410457 0.0002572232
[55] 0.0002787932 0.0003057557 0.0003381106
[58] 0.0003758581 0.0004189980 0.0004675305
[61] 0.0005214554 0.0005807729 0.0006454828
[64] 0.0007155852 0.0007910802 0.0008719676
[67] 0.0009582475 0.0010499199 0.0011469848
[70] 0.0012494422 0.0013572921 0.0014705345
[73] 0.0015891694 0.0017131967 0.0018426166
[76] 0.0019774290 0.0021176338 0.0022632312
[79] 0.0024142210 0.0025706034 0.0027323782
[82] 0.0028995455 0.0030721054 0.0032500577
[85] 0.0034334025 0.0036221398 0.0038162696
[88] 0.0040157919 0.0042207067 0.0044310140
[91] 0.0046467138 0.0048678060 0.0050942908
[94] 0.0053261681 0.0055634378 0.0058061001
[97] 0.0060541548 0.0063076021 0.0065664418
[100] 0.0068306741
$zx
[1] -0.300000000 -0.293939394 -0.287878788
[4] -0.281818182 -0.275757576 -0.269696970
[7] -0.263636364 -0.257575758 -0.251515152
[10] -0.245454545 -0.239393939 -0.233333333
[13] -0.227272727 -0.221212121 -0.215151515
[16] -0.209090909 -0.203030303 -0.196969697
[19] -0.190909091 -0.184848485 -0.178787879
[22] -0.172727273 -0.166666667 -0.160606061
[25] -0.154545455 -0.148484848 -0.142424242
[28] -0.136363636 -0.130303030 -0.124242424
[31] -0.118181818 -0.112121212 -0.106060606
[34] -0.100000000 -0.093939394 -0.087878788
[37] -0.081818182 -0.075757576 -0.069696970
[40] -0.063636364 -0.057575758 -0.051515152
[43] -0.045454545 -0.039393939 -0.033333333
[46] -0.027272727 -0.021212121 -0.015151515
[49] -0.009090909 -0.003030303 0.003030303
[52] 0.009090909 0.015151515 0.021212121
[55] 0.027272727 0.033333333 0.039393939
[58] 0.045454545 0.051515152 0.057575758
[61] 0.063636364 0.069696970 0.075757576
[64] 0.081818182 0.087878788 0.093939394
[67] 0.100000000 0.106060606 0.112121212
[70] 0.118181818 0.124242424 0.130303030
[73] 0.136363636 0.142424242 0.148484848
[76] 0.154545455 0.160606061 0.166666667
[79] 0.172727273 0.178787879 0.184848485
[82] 0.190909091 0.196969697 0.203030303
[85] 0.209090909 0.215151515 0.221212121
[88] 0.227272727 0.233333333 0.239393939
[91] 0.245454545 0.251515152 0.257575758
[94] 0.263636364 0.269696970 0.275757576
[97] 0.281818182 0.287878788 0.293939394
[100] 0.300000000
$yexpr
expression(sigma[t]^2)
$xexpr
expression(epsilon[t - 1])
> signbias(nsei.garch11.fit)
t-value prob sig
Sign Bias 1.1448046 0.25238388
Negative Sign Bias 0.8496893 0.39556745
Positive Sign Bias 0.9183913 0.35848985
Joint Effect 8.6774146 0.03390201 **
2007-09-18 0.0006226368
2007-09-19 0.0006226368
2007-09-20 0.0006226368
2007-09-21 0.0006226368
2007-09-24 0.0006226368
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2007-09-26 0.0006226368
2007-09-27 0.0006226368
2007-09-28 0.0006226368
2007-10-01 0.0006226368
2007-10-03 0.0006226368
2007-10-04 0.0006226368
2007-10-05 0.0006226368
2007-10-08 0.0006226368
2007-10-09 0.0006226368
2007-10-10 0.0006226368
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2007-10-12 0.0006226368
2007-10-15 0.0006226368
2007-10-16 0.0006226368
2007-10-17 0.0006226368
2007-10-18 0.0006226368
2007-10-19 0.0006226368
2007-10-22 0.0006226368
2007-10-23 0.0006226368
2007-10-24 0.0006226368
2007-10-25 0.0006226368
2007-10-26 0.0006226368
2007-10-29 0.0006226368
2007-10-30 0.0006226368
2007-10-31 0.0006226368
2007-11-01 0.0006226368
2007-11-02 0.0006226368
2007-11-05 0.0006226368
2007-11-06 0.0006226368
2007-11-07 0.0006226368
2007-11-08 0.0006226368
2007-11-12 0.0006226368
2007-11-13 0.0006226368
2007-11-14 0.0006226368
2007-11-15 0.0006226368
2007-11-16 0.0006226368
2007-11-19 0.0006226368
2007-11-20 0.0006226368
2007-11-21 0.0006226368
2007-11-22 0.0006226368
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2007-12-19 0.0006226368
2007-12-20 0.0006226368
2007-12-24 0.0006226368
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2007-12-31 0.0006226368
2008-01-01 0.0006226368
2008-01-02 0.0006226368
2008-01-03 0.0006226368
2008-01-04 0.0006226368
2008-01-07 0.0006226368
2008-01-08 0.0006226368
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2008-01-14 0.0006226368
2008-01-15 0.0006226368
2008-01-16 0.0006226368
2008-01-17 0.0006226368
2008-01-18 0.0006226368
2008-01-21 0.0006226368
2008-01-22 0.0006226368
2008-01-23 0.0006226368
2008-01-24 0.0006226368
2008-01-25 0.0006226368
2008-01-28 0.0006226368
2008-01-29 0.0006226368
2008-01-30 0.0006226368
2008-01-31 0.0006226368
2008-02-01 0.0006226368
2008-02-04 0.0006226368
2008-02-05 0.0006226368
2008-02-06 0.0006226368
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2008-02-13 0.0006226368
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2008-02-20 0.0006226368
2008-02-21 0.0006226368
2008-02-22 0.0006226368
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2008-02-27 0.0006226368
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2008-02-29 0.0006226368
2008-03-03 0.0006226368
2008-03-04 0.0006226368
2008-03-05 0.0006226368
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2008-03-25 0.0006226368
2008-03-26 0.0006226368
2008-03-27 0.0006226368
2008-03-28 0.0006226368
2008-03-31 0.0006226368
2008-04-01 0.0006226368
2008-04-02 0.0006226368
2008-04-03 0.0006226368
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2008-04-28 0.0006226368
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2008-05-07 0.0006226368
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2008-05-16 0.0006226368
2008-05-20 0.0006226368
2008-05-21 0.0006226368
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2008-05-26 0.0006226368
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2008-05-28 0.0006226368
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2008-05-30 0.0006226368
2008-06-02 0.0006226368
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2008-06-04 0.0006226368
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2008-07-25 0.0006226368
2008-07-28 0.0006226368
2008-07-29 0.0006226368
2008-07-30 0.0006226368
2008-07-31 0.0006226368
2008-08-01 0.0006226368
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2008-08-05 0.0006226368
2008-08-06 0.0006226368
2008-08-07 0.0006226368
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2008-08-12 0.0006226368
2008-08-13 0.0006226368
2008-08-14 0.0006226368
2008-08-18 0.0006226368
2008-08-19 0.0006226368
2008-08-20 0.0006226368
2008-08-21 0.0006226368
2008-08-22 0.0006226368
2008-08-25 0.0006226368
2008-08-26 0.0006226368
2008-08-27 0.0006226368
2008-08-28 0.0006226368
2008-08-29 0.0006226368
2008-09-01 0.0006226368
2008-09-02 0.0006226368
2008-09-04 0.0006226368
2008-09-05 0.0006226368
2008-09-08 0.0006226368
2008-09-09 0.0006226368
2008-09-10 0.0006226368
2008-09-11 0.0006226368
2008-09-12 0.0006226368
2008-09-15 0.0006226368
2008-09-16 0.0006226368
2008-09-17 0.0006226368
2008-09-18 0.0006226368
2008-09-19 0.0006226368
2008-09-22 0.0006226368
2008-09-23 0.0006226368
2008-09-24 0.0006226368
2008-09-25 0.0006226368
2008-09-26 0.0006226368
2008-09-29 0.0006226368
2008-09-30 0.0006226368
2008-10-01 0.0006226368
2008-10-03 0.0006226368
2008-10-06 0.0006226368
2008-10-07 0.0006226368
2008-10-08 0.0006226368
2008-10-10 0.0006226368
2008-10-13 0.0006226368
2008-10-14 0.0006226368
2008-10-15 0.0006226368
2008-10-16 0.0006226368
2008-10-17 0.0006226368
2008-10-20 0.0006226368
2008-10-21 0.0006226368
2008-10-22 0.0006226368
2008-10-23 0.0006226368
2008-10-24 0.0006226368
2008-10-27 0.0006226368
2008-10-29 0.0006226368
2008-10-31 0.0006226368
2008-11-03 0.0006226368
2008-11-04 0.0006226368
2008-11-05 0.0006226368
2008-11-06 0.0006226368
2008-11-07 0.0006226368
2008-11-10 0.0006226368
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2008-11-12 0.0006226368
2008-11-14 0.0006226368
2008-11-17 0.0006226368
2008-11-18 0.0006226368
2008-11-19 0.0006226368
2008-11-20 0.0006226368
2008-11-21 0.0006226368
2008-11-24 0.0006226368
2008-11-25 0.0006226368
2008-11-26 0.0006226368
2008-11-28 0.0006226368
2008-12-01 0.0006226368
2008-12-02 0.0006226368
2008-12-03 0.0006226368
2008-12-04 0.0006226368
2008-12-05 0.0006226368
2008-12-08 0.0006226368
2008-12-10 0.0006226368
2008-12-11 0.0006226368
2008-12-12 0.0006226368
2008-12-15 0.0006226368
2008-12-16 0.0006226368
2008-12-17 0.0006226368
2008-12-18 0.0006226368
2008-12-19 0.0006226368
2008-12-22 0.0006226368
2008-12-23 0.0006226368
2008-12-24 0.0006226368
2008-12-26 0.0006226368
2008-12-29 0.0006226368
2008-12-30 0.0006226368
2008-12-31 0.0006226368
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2009-01-06 0.0006226368
2009-01-07 0.0006226368
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2009-01-19 0.0006226368
2009-01-20 0.0006226368
2009-01-21 0.0006226368
2009-01-22 0.0006226368
2009-01-23 0.0006226368
2009-01-27 0.0006226368
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2009-02-20 0.0006226368
2009-02-24 0.0006226368
2009-02-25 0.0006226368
2009-02-26 0.0006226368
2009-02-27 0.0006226368
2009-03-02 0.0006226368
2009-03-03 0.0006226368
2009-03-04 0.0006226368
2009-03-05 0.0006226368
2009-03-06 0.0006226368
2009-03-09 0.0006226368
2009-03-12 0.0006226368
2009-03-13 0.0006226368
2009-03-16 0.0006226368
2009-03-17 0.0006226368
2009-03-18 0.0006226368
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2009-03-20 0.0006226368
2009-03-23 0.0006226368
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2009-03-25 0.0006226368
2009-03-26 0.0006226368
2009-03-27 0.0006226368
2009-03-30 0.0006226368
2009-03-31 0.0006226368
2009-04-01 0.0006226368
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2009-05-05 0.0006226368
2009-05-06 0.0006226368
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2009-05-19 0.0006226368
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2009-05-21 0.0006226368
2009-05-22 0.0006226368
2009-05-25 0.0006226368
2009-05-26 0.0006226368
2009-05-27 0.0006226368
2009-05-28 0.0006226368
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2009-06-01 0.0006226368
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2009-06-03 0.0006226368
2009-06-04 0.0006226368
2009-06-05 0.0006226368
2009-06-08 0.0006226368
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2009-06-12 0.0006226368
2009-06-15 0.0006226368
2009-06-16 0.0006226368
2009-06-17 0.0006226368
2009-06-18 0.0006226368
2009-06-19 0.0006226368
2009-06-22 0.0006226368
2009-06-23 0.0006226368
2009-06-24 0.0006226368
2009-06-25 0.0006226368
2009-06-26 0.0006226368
2009-06-29 0.0006226368
2009-06-30 0.0006226368
2009-07-01 0.0006226368
2009-07-02 0.0006226368
2009-07-03 0.0006226368
2009-07-06 0.0006226368
2009-07-07 0.0006226368
2009-07-08 0.0006226368
2009-07-09 0.0006226368
2009-07-10 0.0006226368
2009-07-13 0.0006226368
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2008-12-04 4.771123e-02
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2009-11-23 9.440388e-03
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2010-02-08 8.186320e-03
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2010-02-26 1.216623e-02
2010-03-02 1.843365e-02
2010-03-03 1.344972e-02
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2010-03-05 1.039324e-03
2010-03-08 6.290314e-03
2010-03-09 -5.023407e-03
2010-03-10 2.264498e-03
2010-03-11 2.723803e-03
2010-03-12 7.842612e-05
2010-03-15 -2.200696e-03
2010-03-16 1.277936e-02
2010-03-17 5.858652e-03
2010-03-18 2.049682e-03
2010-03-19 2.593730e-03
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2010-03-23 3.231375e-03
2010-03-25 6.072239e-03
2010-03-26 3.475126e-03
2010-03-29 3.316980e-03
2010-03-30 -8.270332e-03
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2010-04-06 -1.069779e-03
2010-04-07 9.880486e-04
2010-04-08 -1.376995e-02
2010-04-09 1.012165e-02
2010-04-12 -4.743543e-03
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2010-04-19 -1.188757e-02
2010-04-20 4.447497e-03
2010-04-21 2.203103e-03
2010-04-22 4.028240e-03
2010-04-23 5.950454e-03
2010-04-26 2.830999e-03
2010-04-27 -3.275326e-03
2010-04-28 -1.827830e-02
2010-04-29 6.770173e-03
2010-04-30 3.906379e-03
2010-05-03 -1.114579e-02
2010-05-04 -1.494131e-02
2010-05-05 -5.217053e-03
2010-05-06 -7.288800e-03
2010-05-07 -1.502609e-02
2010-05-10 3.376311e-02
2010-05-11 -1.174600e-02
2010-05-12 3.360736e-03
2010-05-13 3.682898e-03
2010-05-14 -1.725008e-02
2010-05-17 -7.241153e-03
2010-05-18 6.217305e-04
2010-05-19 -2.997634e-02
2010-05-20 5.042624e-03
2010-05-21 -3.953060e-03
2010-05-24 1.969803e-03
2010-05-25 -2.876610e-02
2010-05-26 2.213610e-02
2010-05-27 1.665519e-02
2010-05-28 1.197970e-02
2010-05-31 3.267901e-03
2010-06-01 -2.371313e-02
2010-06-02 9.317316e-03
2010-06-03 1.727454e-02
2010-06-04 4.257326e-03
2010-06-07 -2.058495e-02
2010-06-08 -9.982935e-03
2010-06-09 2.020637e-03
2010-06-10 1.491514e-02
2010-06-11 7.369208e-03
2010-06-14 1.456612e-02
2010-06-15 4.108617e-03
2010-06-16 1.481479e-03
2010-06-17 7.275998e-03
2010-06-18 -2.947678e-03
2010-06-21 1.646530e-02
2010-06-22 -7.511233e-03
2010-06-23 6.180181e-04
2010-06-24 -1.101754e-03
2010-06-25 -1.035869e-02
2010-06-28 1.153500e-02
2010-06-29 -1.523152e-02
2010-06-30 1.004110e-02
2010-07-01 -1.219048e-02
2010-07-02 -3.349397e-03
2010-07-05 -8.518349e-04
2010-07-06 9.477241e-03
2010-07-07 -9.729827e-03
2010-07-08 9.958267e-03
2010-07-09 9.819477e-03
2010-07-12 5.068766e-03
2010-07-13 2.650822e-03
2010-07-14 -3.311110e-03
2010-07-15 -1.997457e-03
2010-07-16 2.190025e-03
2010-07-19 -2.004727e-03
2010-07-20 -4.053814e-03
2010-07-21 5.200558e-03
2010-07-22 7.236257e-03
2010-07-23 6.903503e-04
2010-07-26 -6.235615e-03
2010-07-27 1.589509e-03
2010-07-28 -6.727169e-03
2010-07-29 1.477979e-03
2010-07-30 -8.287464e-03
2010-08-02 1.123940e-02
2010-08-03 8.307271e-04
2010-08-04 4.566566e-03
2010-08-05 -4.424766e-03
2010-08-06 -2.064828e-03
2010-08-09 7.962896e-03
2010-08-10 -5.272331e-03
2010-08-11 -7.993131e-03
2010-08-12 -1.388510e-03
2010-08-13 5.937581e-03
2010-08-16 -6.841433e-03
2010-08-17 -1.388835e-03
2010-08-18 1.131145e-02
2010-08-19 1.045804e-02
2010-08-20 -2.347942e-03
2010-08-23 1.698102e-03
2010-08-24 -7.573754e-03
2010-08-25 -8.418472e-03
2010-08-26 2.220043e-03
2010-08-27 -1.333563e-02
2010-08-30 6.245744e-04
2010-08-31 -3.035371e-03
2010-09-01 1.215087e-02
2010-09-02 1.987294e-03
2010-09-03 -1.853765e-03
2010-09-06 1.702384e-02
2010-09-07 4.215925e-03
2010-09-08 6.415409e-05
2010-09-09 5.102840e-03
2010-09-13 2.042194e-02
2010-09-14 5.530237e-03
2010-09-15 1.059875e-02
2010-09-16 -6.140352e-03
2010-09-17 8.981616e-03
2010-09-20 1.547493e-02
2010-09-21 4.148148e-03
2010-09-22 -3.630927e-03
2010-09-23 -5.886038e-03
2010-09-24 9.187216e-03
2010-09-27 2.256106e-03
2010-09-28 -1.642086e-03
2010-09-29 -6.978341e-03
2010-09-30 5.807730e-03
2010-10-01 1.801693e-02
2010-10-04 1.986564e-03
2010-10-05 -2.841266e-03
2010-10-06 5.969921e-03
2010-10-07 -1.137300e-02
2010-10-08 -3.379503e-03
2010-10-11 4.671780e-03
2010-10-12 -7.975433e-03
2010-10-13 2.258365e-02
2010-10-14 -9.735368e-03
2010-10-15 -1.936505e-02
2010-10-18 1.568769e-03
2010-10-19 -8.661908e-03
2010-10-20 -8.150060e-03
2010-10-21 1.914031e-02
2010-10-22 -6.449660e-03
2010-10-25 5.908851e-03
2010-10-26 -4.528155e-03
2010-10-27 -1.209066e-02
2010-10-28 -4.780806e-03
2010-10-29 4.375124e-03
2010-11-01 1.583386e-02
2010-11-02 -3.856100e-04
2010-11-03 6.136622e-03
2010-11-04 1.887595e-02
2010-11-08 -1.992547e-03
2010-11-09 3.886345e-03
2010-11-10 -4.733177e-03
2010-11-11 -1.368626e-02
2010-11-12 -2.061370e-02
2010-11-15 7.570499e-03
2010-11-16 -2.257176e-02
2010-11-18 1.062387e-03
2010-11-19 -1.887516e-02
2010-11-22 1.949521e-02
2010-11-23 -1.322248e-02
2010-11-24 -1.231719e-02
2010-11-25 -1.193817e-02
2010-11-26 -8.898488e-03
2010-11-29 1.285540e-02
2010-11-30 4.970644e-03
2010-12-01 1.598854e-02
2010-12-02 7.863506e-03
2010-12-03 -3.771524e-03
2010-12-06 -7.143852e-04
2010-12-07 -3.246159e-03
2010-12-08 -1.288678e-02
2010-12-09 -2.413663e-02
2010-12-10 1.500935e-02
2010-12-13 7.928168e-03
2010-12-14 5.528406e-03
2010-12-15 -9.375404e-03
2010-12-16 8.912096e-03
2010-12-20 -9.084847e-04
2010-12-21 8.349878e-03
2010-12-22 -3.334350e-03
2010-12-23 -1.358136e-03
2010-12-24 4.647748e-03
2010-12-27 -2.870820e-03
2010-12-28 -9.728253e-04
2010-12-29 1.005235e-02
2010-12-30 6.201813e-03
2010-12-31 4.713919e-03
2011-01-03 3.135895e-03
2011-01-04 -2.451318e-03
2011-01-05 -1.150929e-02
2011-01-06 -5.825431e-03
2011-01-07 -2.465989e-02
2011-01-10 -2.492220e-02
2011-01-11 -2.142137e-03
2011-01-12 1.816876e-02
2011-01-13 -1.979648e-02
2011-01-14 -1.769236e-02
2011-01-17 -5.872332e-04
2011-01-18 1.155803e-02
2011-01-19 -6.404468e-03
2011-01-20 2.981844e-03
2011-01-21 -3.269897e-03
2011-01-24 7.550664e-03
2011-01-25 -1.039470e-02
2011-01-27 -1.534170e-02
2011-01-28 -1.720203e-02
2011-01-31 -1.757139e-03
2011-02-01 -1.686375e-02
2011-02-02 2.105641e-03
2011-02-03 1.666991e-02
2011-02-04 -2.461097e-02
2011-02-07 -5.763051e-04
2011-02-08 -1.620867e-02
2011-02-09 -1.179054e-02
2011-02-10 -5.918779e-03
2011-02-11 1.536134e-02
2011-02-14 2.650145e-02
2011-02-15 3.949009e-03
2011-02-16 -4.948954e-04
2011-02-17 1.112017e-02
2011-02-18 -1.652426e-02
2011-02-21 1.024509e-02
2011-02-22 -9.614470e-03
2011-02-23 -6.463198e-03
2011-02-24 -3.327022e-02
2011-02-25 7.109494e-03
2011-02-28 4.961801e-03
2011-03-01 3.421096e-02
2011-03-03 1.891338e-03
2011-03-04 -1.621733e-04
2011-03-07 -1.436595e-02
2011-03-08 9.874577e-03
2011-03-09 1.223252e-03
2011-03-10 -7.261894e-03
2011-03-11 -9.571577e-03
2011-03-14 1.505596e-02
2011-03-15 -1.553029e-02
2011-03-16 1.059929e-02
2011-03-17 -1.239521e-02
2011-03-18 -1.410664e-02
2011-03-21 -2.289581e-03
2011-03-22 8.488090e-03
2011-03-23 1.156758e-02
2011-03-24 7.039174e-03
2011-03-25 2.297231e-02
2011-03-28 5.196716e-03
2011-03-29 7.973673e-03
2011-03-30 8.280547e-03
2011-03-31 7.311061e-03
2011-04-01 -1.943448e-03
2011-04-04 1.342172e-02
2011-04-05 -3.519408e-04
2011-04-06 -3.723828e-03
2011-04-07 -1.649991e-03
2011-04-08 -8.075146e-03
2011-04-11 -1.030645e-02
2011-04-13 2.088758e-02
2011-04-15 -1.544053e-02
2011-04-18 -1.714588e-02
2011-04-19 1.408760e-03
2011-04-20 1.851116e-02
2011-04-21 5.009503e-03
2011-04-25 -2.357482e-03
2011-04-26 -1.661579e-03
2011-04-27 -6.518931e-03
2011-04-28 -8.962172e-03
2011-04-29 -6.855921e-03
2011-05-02 -9.041346e-03
2011-05-03 -2.477491e-02
2011-05-04 -5.684634e-03
2011-05-05 -1.468121e-02
2011-05-06 1.601522e-02
2011-05-09 -6.857028e-04
2011-05-10 -2.398654e-03
2011-05-11 3.663191e-03
2011-05-12 -1.490185e-02
2011-05-13 1.000218e-02
2011-05-16 -8.907913e-03
2011-05-17 -1.160283e-02
2011-05-18 -4.002172e-03
2011-05-19 7.600176e-04
2011-05-20 1.005139e-02
2011-05-23 -1.898077e-02
2011-05-24 9.171066e-04
2011-05-25 -9.167133e-03
2011-05-26 1.116044e-02
2011-05-27 1.108715e-02
2011-05-30 -1.170622e-03
2011-06-01 2.086917e-02
2011-06-02 -8.098635e-03
2011-06-03 -6.694724e-03
2011-06-06 2.146861e-03
2011-06-07 3.724351e-03
2011-06-08 -5.909991e-03
2011-06-09 -1.672663e-03
2011-06-10 -7.027761e-03
2011-06-13 -1.169653e-03
2011-06-14 2.600477e-03
2011-06-15 -1.030485e-02
2011-06-16 -9.982504e-03
2011-06-17 -6.262283e-03
2011-06-20 -2.104822e-02
2011-06-21 2.785497e-03
2011-06-22 -1.584199e-04
2011-06-23 7.246627e-03
2011-06-24 2.741117e-02
2011-06-27 9.443070e-03
2011-06-28 2.755234e-03
2011-06-29 9.273663e-03
2011-06-30 7.725622e-03
2011-07-01 -4.205864e-03
2011-07-04 3.509383e-03
2011-07-05 -3.884282e-03
2011-07-06 -1.804049e-03
2011-07-07 1.760869e-02
2011-07-08 -1.261623e-02
2011-07-11 -8.523856e-03
2011-07-12 -1.676877e-02
2011-07-13 1.005105e-02
2011-07-14 -1.380575e-02
2011-07-15 1.178135e-02
2011-07-18 -3.143288e-03
2011-07-19 7.695391e-03
2011-07-20 -8.940664e-03
2011-07-21 -5.204607e-03
2011-07-22 1.590491e-02
2011-07-25 7.570548e-03
2011-07-26 -1.936122e-02
2011-07-27 -5.666916e-03
2011-07-28 -1.132545e-02
2011-07-29 -1.670974e-03
2011-08-01 5.705312e-03
2011-08-02 -1.160390e-02
2011-08-03 -1.015191e-02
2011-08-04 -1.422119e-02
2011-08-05 -2.349174e-02
2011-08-08 -1.858096e-02
2011-08-09 -9.581255e-03
2011-08-10 1.660491e-02
2011-08-11 -5.030748e-03
2011-08-12 -1.342234e-02
2011-08-16 -7.972815e-03
2011-08-17 3.499341e-03
2011-08-18 -2.311194e-02
2011-08-19 -2.074630e-02
2011-08-22 1.028623e-02
2011-08-23 9.552436e-03
2011-08-24 -1.282064e-02
2011-08-25 -1.075785e-02
2011-08-26 -1.977342e-02
2011-08-29 3.492330e-02
2011-08-30 1.578801e-02
2011-09-02 7.145553e-03
2011-09-05 -5.156671e-03
2011-09-06 8.721201e-03
2011-09-07 1.122369e-02
2011-09-08 4.942736e-03
2011-09-09 -1.899240e-02
2011-09-12 -2.313959e-02
2011-09-13 -1.805840e-03
2011-09-14 1.376443e-02
2011-09-15 1.189712e-02
2011-09-16 1.060404e-03
2011-09-19 -1.096254e-02
2011-09-20 2.066177e-02
2011-09-21 -1.975677e-03
2011-09-22 -4.231152e-02
2011-09-23 -1.204092e-02
2011-09-26 -7.290619e-03
2011-09-27 2.708485e-02
2011-09-28 -5.735024e-03
2011-09-29 1.334162e-02
2011-09-30 -1.512281e-02
2011-10-03 -1.977004e-02
2011-10-04 -1.670133e-02
2011-10-05 -5.001330e-03
2011-10-07 2.775255e-02
2011-10-10 1.793354e-02
2011-10-11 -1.677494e-03
[ reached getOption("max.print") -- omitted 1927 rows ]
> uncvariance(nsei.garch11.fit)
[1] 0.000241955
uncmean(nsei.garch11.fit)
[1] 0.0006226368
ni.garch11 <- newsimpact(nsei.garch11.fit)
> plot(ni.garch11$zx, ni.garch11$zy, type="l", lwd=2, col="blue",
+ main="GARCH(1,1) - News Impact", ylab=ni.garch11$yexpr, xlab=ni.
+ garch11$xexpr)
Error: unexpected symbol in:
" main="GARCH(1,1) - News Impact", ylab=ni.garch11$yexpr, xlab=ni.
garch11"
> plot(ni.garch11$zx, ni.garch11$zy, type="l",lwd=2,col="blue",main="GARCH(1,1)-News Impact", ylab=ni.garch11$yexpr,xlab=ni.garch11$xexpr)
> egarch11.spec = ugarchspec(variance.model = list(model="eGARCH",garchOrder=c(1,1)), mean.model = list(armaOrder=c(0,0)))
> nsei.egarch11.fit = ugarchfit(spec=egarch11.spec, data=ret.nsei)
> coef(nsei.egarch11.fit)
mu omega alpha1 beta1
0.000389152 -0.097904469 -0.076354507 0.988684022
gamma1
0.160030192
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