Hi guys
I am trying in R to use Garch(1,1) to estimate the influence of day of the week, and also later other parameters, on my log return (ln(Pt/Pt-1))of Product sells
I have all setuped in a csv file and for each Day a dummy variable (D1,D2) with 1 or 0 as value
I am building the following model in R
#Bind Data
ext.reg.D1 <- mydata$D1
ext.reg.D2 <- mydata$D2
ext.reg.D3 <- mydata$D3
ext.reg.D4 <- mydata$D4
ext.reg.D5 <- mydata$D5
ext.reg.D6 <- mydata$D6
ext.reg.D7 <- mydata$D7
ext.reg <- cbind(ext.reg.D1, ext.reg.D2, ext.reg.D3,ext.reg.D4,ext.reg.D5,ext.reg.D6)
y <- mydata$log_return
fit.spec <- ugarchspec(variance.model = list(model = "gjrGARCH",
garchOrder = c(1, 1),
external.regressors = ext.reg
),
mean.model = list(armaOrder = c(1, 0),
include.mean = TRUE,
external.regressors = ext.reg),
distribution.model = "norm")
fit <- ugarchfit(data = y, spec = fit.spec)
fit
I have no idea what is wrong. Also is it possible to use Newey West, or any other procedure to correct ? My data still has Autocorrelation at unknown lags
Some data
log_return D5 D6 D7 D1 D2 D3 D4
1 -0.02979189 1 0 0 0 0 0 0
2 17.43188265 0 1 0 0 0 0 0
3 -9.12727223 0 0 1 0 0 0 0
4 2.77744081 0 0 0 1 0 0 0
5 9.62597392 0 0 0 0 1 0 0
6 -0.11614358 0 0 0 0 0 1 0
7 10.81279075 0 0 0 0 0 0 1
8 -1.03825650 1 0 0 0 0 0 0
9 -5.49109661 0 1 0 0 0 0 0
10 -16.81177602 0 0 1 0 0 0 0
11 9.74292804 0 0 0 1 0 0 0
12 15.22583595 0 0 0 0 1 0 0
13 -1.79578436 0 0 0 0 0 1 0
14 0.40559431 0 0 0 0 0 0 1
15 -2.38281092 1 0 0 0 0 0 0
16 -4.88853323 0 1 0 0 0 0 0
17 -16.98493635 0 0 1 0 0 0 0
18 7.57998016 0 0 0 1 0 0 0
19 17.56008274 0 0 0 0 1 0 0
20 -0.46754932 0 0 0 0 0 1 0
21 -1.27007966 0 0 0 0 0 0 1
22 -1.79234966 1 0 0 0 0 0 0
23 -5.79461986 0 1 0 0 0 0 0
24 -17.82636881 0 0 1 0 0 0 0
25 9.48124679 0 0 0 1 0 0 0
26 17.64277207 0 0 0 0 1 0 0
27 -0.71191725 0 0 0 0 0 1 0
28 -1.14937870 0 0 0 0 0 0 1
29 -1.62331777 1 0 0 0 0 0 0
30 -5.52787401 0 1 0 0 0 0 0
31 -18.50034717 0 0 1 0 0 0 0
32 10.31502542 0 0 0 1 0 0 0
33 16.21997258 0 0 0 0 1 0 0
34 -1.09910695 0 0 0 0 0 1 0
35 -0.57416519 0 0 0 0 0 0 1
36 -1.83623328 1 0 0 0 0 0 0
37 -5.48021232 0 1 0 0 0 0 0
38 -20.02869823 0 0 1 0 0 0 0
39 11.48799875 0 0 0 1 0 0 0
40 17.55356524 0 0 0 0 1 0 0
41 -1.45430558 0 0 0 0 0 1 0
42 -2.15287757 0 0 0 0 0 0 1
43 -4.91058837 1 0 0 0 0 0 0
44 -4.35107354 0 1 0 0 0 0 0
45 -19.40533612 0 0 1 0 0 0 0
46 6.47785167 0 0 0 1 0 0 0
47 16.54500844 0 0 0 0 1 0 0
48 1.43266482 0 0 0 0 0 1 0
49 1.91234500 0 0 0 0 0 0 1
50 -1.44926252 1 0 0 0 0 0 0
51 -5.69296574 0 1 0 0 0 0 0
52 -14.21241905 0 0 1 0 0 0 0
53 9.85180551 0 0 0 1 0 0 0
54 16.72072000 0 0 0 0 1 0 0
55 -1.04381003 0 0 0 0 0 1 0
56 -1.49048390 0 0 0 0 0 0 1
57 -2.57835848 1 0 0 0 0 0 0
58 -2.93456505 0 1 0 0 0 0 0
59 -21.27981318 0 0 1 0 0 0 0
60 14.27747712 0 0 0 1 0 0 0
61 15.20376637 0 0 0 0 1 0 0
62 -2.36474181 0 0 0 0 0 1 0
63 -0.12825700 0 0 0 0 0 0 1
64 -2.17755007 1 0 0 0 0 0 0
65 -6.50236487 0 1 0 0 0 0 0
66 -20.40159745 0 0 1 0 0 0 0
67 10.12381534 0 0 0 1 0 0 0
68 19.34672964 0 0 0 0 1 0 0
69 -0.18663788 0 0 0 0 0 1 0
70 -1.26430704 0 0 0 0 0 0 1
71 -2.17712050 1 0 0 0 0 0 0
72 -5.20850527 0 1 0 0 0 0 0
73 -19.00303225 0 0 1 0 0 0 0
74 10.78960865 0 0 0 1 0 0 0
75 16.50911599 0 0 0 0 1 0 0
76 -1.20629718 0 0 0 0 0 1 0
77 -0.92077350 0 0 0 0 0 0 1
78 -2.13818901 1 0 0 0 0 0 0
79 -6.39795596 0 1 0 0 0 0 0
80 -16.89947946 0 0 1 0 0 0 0
81 11.84070286 0 0 0 1 0 0 0
82 16.76126417 0 0 0 0 1 0 0
83 -2.32992683 0 0 0 0 0 1 0
84 -0.04347497 0 0 0 0 0 0 1
85 -1.58421553 1 0 0 0 0 0 0
86 -5.11294741 0 1 0 0 0 0 0
87 -22.94382512 0 0 1 0 0 0 0
88 12.08906834 0 0 0 1 0 0 0
89 18.59588505 0 0 0 0 1 0 0
90 -0.66190281 0 0 0 0 0 1 0
91 -3.35891858 0 0 0 0 0 0 1
92 -5.56096067 1 0 0 0 0 0 0
93 -19.12946131 0 1 0 0 0 0 0
94 -2.45717082 0 0 1 0 0 0 0
95 -6.00314421 0 0 0 1 0 0 0
96 16.87403882 0 0 0 0 1 0 0
97 16.72700765 0 0 0 0 0 1 0
98 -1.80683941 0 0 0 0 0 0 1
99 -2.08228231 1 0 0 0 0 0 0
100 -5.98864409 0 1 0 0 0 0 0
101 -14.91991224 0 0 1 0 0 0 0