【原创】R语言garch模型与 EWMA 模型案例 附代码数据

发布时间 : 2024/6/26 17:43:37 星期三 文章【原创】R语言garch模型与 EWMA 模型案例 附代码数据更新完毕开始阅读

【原创】附代码数据

有问题到淘宝找“大数据部落”就可以了

R语言garch模型与 EWMA 模型案例

#读取package library(openxlsx) library(fGarch) library(qcc)

#读取数据

#预设参数

# specify arch(1) model T=1000

#process parameters

eta =as.numeric(data[10:nrow(data),2]) #eta = 0 is equivalent to Geometric Brownian Motion

mu =1#the mean of the process

#生成garch模型模拟参数

#GARCH volatility model

specs =garchSpec(model =list(omega =0.1, alpha =0.1, beta =0.8)) sigma =garchSim(spec = specs, n = T)

#输出参数

write.csv(sigma,\) P_0 =mu #starting price, known

【原创】附代码数据

有问题到淘宝找“大数据部落”就可以了

P =rep(P_0,T)

for(i in 2:T){

P[i] =P[i-1] +eta[i] *(mu -P[i-1]) +sigma[i] *P[i-1] }

write.csv(P,\)

#sigma参数 # ?计算 sigma^ 2 head(sigma^2)

## GMT

## garch ## 2015-01-17 0.09667231 ## 2015-01-18 0.14013957 ## 2015-01-19 0.05962823 ## 2015-01-20 2.70189640 ## 2015-01-21 0.36587459 ## 2015-01-22 0.62896480

【原创】附代码数据

有问题到淘宝找“大数据部落”就可以了

# ?计算EWMA variance

q <-ewma(sigma, lambda=0.2, nsigmas=3)

summary(q)

##

## Call:

## ewma(data = sigma, lambda = 0.2, nsigmas = 3) ##

## ewma chart for sigma ##

## Summary of group statistics:

## Min. 1st Qu. Median Mean 3rd Qu. Max. ## -2.985000 -0.619300 0.050490 0.009825 0.632700 2.948000 ##

## Group sample size: 1 ## Number of groups: 1000

## Center of group statistics: 0.009824546 ## Standard deviation: 0.9711321 ##

## Smoothing parameter: 0.2 ## Control limits:

## LCL UCL