I need your assistance in resolving an issue i'm presently experiencing with running Value at Ris analysis using the rugarch package.
I am running this analysis on a time series dataset called MOEX.ts, which contains stoc market data for the moex index from 1996 through to 2016. The model specification is shown in the code below as well as the rolling window estimation:
moex.dt <- data.frame(read_excel("MOEXnSnP500.xlsx", n_max = 5120))
moex.ts <- ts (moex.dt[,1], start = c(1996,1), end = (2016,12), frequency = 256)
model.spec <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1)),
mean.model = list(armaOrder = c(0,0,2), include.mean = FALSE), distribution.model = "sstd")
model.roll11 <- ugarchroll(spec = model.spec, data = moex.ts, n.start = 3840,forecast.length = NULL,
refit.every = 50, refit.window = c("recursive"), solver = "hybrid", fit.control = list(),
solver.control = list(), calculate.VaR = TRUE, VaR.alpha = c(0.0025, 0.005,0.025,0.01, 0.05),
cluster = NULL, keep.coef = TRUE)
My problem is when i run the rolling window estimation and produce the plots,...THEY ARE SHOWING A DIFFERENT TIME FRAME ON THE X-AXIS THAT IS NOT RELATED TO THE TIME FRAME ON MY DATASET".
I need to resolve this issue, as to why my rolling window estimation plots are showing a different time frame.
Any help in dealing with the dates issue on the plots is much appreciated.