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Update Using HARModel.R
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@emilsjoerup
emilsjoerup committed Sep 4, 2019
1 parent 9705e8e commit 36f5ca6
Showing 1 changed file with 66 additions and 60 deletions.
126 changes: 66 additions & 60 deletions Using HARModel.R
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Original file line number Diff line number Diff line change
Expand Up @@ -9,103 +9,109 @@ SP500rq = SP500RM$RQ
SP500bpv = SP500RM$BPV

#######################Estimation#######################
FitHAR = HAREstimate(as.vector(SP500rv), periods = c(1,5,22))
HARFit = HAREstimate(SP500rv, periods = c(1,5,22))

FitCHAR = HAREstimate(SP500rv, BPV = SP500bpv, periods = c(1,5,22), type = "CHAR")
CHARFit = HAREstimate(SP500rv, BPV = SP500bpv, periods = c(1,5,22), type = "CHAR")

FitCHARQ = HAREstimate(SP500rv, BPV = SP500bpv, RQ = SP500rq, periods = c(1,5,22), periodsRQ = c(1), type = "CHARQ")
CHARQFit = HAREstimate(SP500rv, BPV = SP500bpv, RQ = SP500rq,
periods = c(1,5,22), periodsRQ = c(1), type = "CHARQ")

FitHARJ = HAREstimate(RM = SP500rv, BPV = SP500bpv,
periods = c(1,5,22), periodsJ = c(1), type = "HARJ" )
HARJFit = HAREstimate(RM = SP500rv, BPV = SP500bpv,
periods = c(1,5,22), periodsJ = c(1), type = "HARJ" )

HARQFit = HAREstimate(RM = SP500rv, RQ = SP500rq,
periods = c(1,5,22 ), periodsRQ = c(1), type = "HARQ")

FitHARQ = HAREstimate(RM = SP500rv, RQ = SP500rq, periods = c(1,5,22 ),
periodsRQ = c(1), type = "HARQ")
FullHARQFit = HAREstimate(RM = SP500rv, RQ = SP500rq,
periods = c(1,5,22 ), periodsRQ = c(1,5,22), type = "HARQ")

FitFullHARQ = HAREstimate(RM = SP500rv, RQ = SP500rq, periods = c(1,5,22 ),
periodsRQ = c(1,5,22), type = "HARQ")
HARQJFit = HAREstimate(RM = SP500rv, BPV = SP500bpv, RQ = SP500rq,
periods = c(1,5,22), periodsJ = c(1,5,22),
periodsRQ = c(1), type = "HARQ-J")

FitHARQJ = HAREstimate(RM = SP500rv, BPV = SP500bpv,
RQ = SP500rq, periods = c(1,5,22),
periodsJ = c(1,5,22), periodsRQ = c(1), type = "HARQ-J")
FullHARQJFit = HAREstimate(RM = SP500rv, BPV = SP500bpv, RQ = SP500rq,
periods = c(1,5,22), periodsJ = c(1,5,22),
periodsRQ = c(1,5,22), type = "HARQ-J")

FitFullHARQJ = HAREstimate(RM = SP500rv, BPV = SP500bpv,
RQ = SP500rq, periods = c(1,5,22),
periodsJ = c(1,5,22), periodsRQ = c(1,5,22), type = "HARQ-J")
plot(HARQFit)

plot(FitCHARQ)
summary(HARQFit) #Wrapper for the lm submodel

summary(FitHAR)
logLik(HARQFit) #Wrapper for the lm submodel

logLik(FitHAR)

confint(FitHAR)
confint(HARQFit) #Wrapper for the lm submodel
#Q-like:
mean(qlike(FitHAR))
mean(qlike(FitHARQ))
mean(qlike(HARFit))
mean(qlike(HARQFit))



#######################Forecasting#######################

ForcHAR = HARForecast(SP500rv, periods = c(1,5,22) ,nRoll = 3096, nAhead = 50, type = "HAR" )
ForcHARI = HARForecast(SP500rv, periods = c(1,5,22) ,nRoll = 3096,
nAhead = 1, type = "HAR", windowType = "increasing" )
HARForc = HARForecast(SP500rv, periods = c(1,5,22),
nRoll = 3096, nAhead = 50, type = "HAR" )

HARIForc = HARForecast(SP500rv, periods = c(1,5,22) ,
nRoll = 3096, nAhead = 1, type = "HAR", windowType = "increasing" )

HARJForc = HARForecast(SP500rv, BPV = SP500bpv, periods = c(1,5,22),
periodsJ = c(1) ,nRoll = 3096,
nAhead = 50, type = "HARJ" )

HARJIForc = HARForecast(SP500rv, BPV = SP500bpv, periods = c(1,5,22),
periodsJ = c(1) ,nRoll = 3096,nAhead = 1,
type = "HARJ", windowType = "increasing" )

FULLHARJForc = HARForecast(SP500rv, BPV = SP500bpv, periods = c(1,5,22),
periodsJ = c(1,5,22) ,nRoll = 3096,nAhead = 1, type = "HARJ" )

ForcHARJ = HARForecast(SP500rv, BPV = SP500bpv, periods = c(1,5,22),
periodsJ = c(1) ,nRoll = 3096,
nAhead = 50, type = "HARJ" )
ForcHARJI = HARForecast(SP500rv, BPV = SP500bpv, periods = c(1,5,22),
periodsJ = c(1) ,nRoll = 3096,
nAhead = 1, type = "HARJ", windowType = "increasing" )
HARQForc = HARForecast(SP500rv, RQ = SP500rq, periods = c(1,5,22),
periodsRQ = c(1), nRoll = 3096, nAhead = 1,type = "HARQ" )

ForcFULLHARJ = HARForecast(SP500rv, BPV = SP500bpv, periods = c(1,5,22),
periodsJ = c(1,5,22) ,nRoll = 3096,
nAhead = 1, type = "HARJ" )
ForcHARQ = HARForecast(as.vector(SP500rv), RQ = SP500rq, periods = c(1,5,22),
periodsRQ = c(1), nRoll = 3096, nAhead = 1,
type = "HARQ" )
FULLHARQForc = HARForecast(SP500rv, RQ= SP500rq, periods = c(1,5,22),
periodsRQ = c(1,5,22),
nRoll = 3096, nAhead = 1,type = "HARQ")

ForcFULLHARQ = HARForecast(SP500rv, RQ= SP500rq, periods = c(1,5,22),
periodsRQ = c(1,5,22), nRoll = 3096, nAhead = 1,
type = "HARQ" )
HARQJForc = HARForecast(SP500rv, RQ = SP500rq, BPV = SP500bpv,
periods = c(1,5,22), periodsJ = c(1), periodsRQ = c(1),
nRoll = 3096,nAhead = 1, type = "HARQ-J")

ForcHARQJ = HARForecast(as.numeric(SP500rv), RQ = SP500rq, BPV = SP500bpv,
periods = c(1,5,22), periodsJ = c(1),
periodsRQ = c(1), nRoll = 3096,
nAhead = 1, type = "HARQ-J" )
CHARForc = HARForecast(SP500rv, RQ = SP500rq, BPV = SP500bpv,
periods = c(1,5,22), periodsJ = c(1), periodsRQ = c(1),
nRoll = 3096,nAhead = 1, type = "CHAR")

ForcCHAR = HARForecast(as.numeric(SP500rv), RQ = SP500rq, BPV = SP500bpv,
periods = c(1,5,22), periodsJ = c(1),
periodsRQ = c(1), nRoll = 3096,
nAhead = 1, type = "CHAR" )
CHARQForc = HARForecast(SP500rv, RQ = SP500rq, BPV = SP500bpv,
periods = c(1,5,22), periodsJ = c(1), periodsRQ = c(1),
nRoll = 3096,nAhead = 1, type = "CHARQ")

ForcCHARQ = HARForecast(as.numeric(SP500rv), RQ = SP500rq, BPV = SP500bpv,
periods = c(1,5,22), periodsJ = c(1),
periodsRQ = c(1), nRoll = 3096,
nAhead = 1, type = "CHARQ" )
#Plot:
plot(HARForc)

#To get the forecasted series of a HARForecast object:
forecast = getForc(HARForc)

#To get the forecast residualse:
forcRes = forecastRes(HARForc)

##Select loss functions from updated table 4 of BPQ:

mean(forecastRes(ForcHAR)^2)/mean(forecastRes(ForcHAR)^2)
mean(forecastRes(ForcHARJ)^2)/mean(forecastRes(ForcHAR)^2)
mean(forecastRes(ForcCHAR)^2)/mean(forecastRes(ForcHAR)^2)
mean(forecastRes(HARJForc)^2)/mean(forecastRes(HARForc)^2)
mean(forecastRes(HARQForc)^2)/mean(forecastRes(HARForc)^2)
mean(forecastRes(CHARForc)^2)/mean(forecastRes(HARForc)^2)


mean(qlike(ForcHAR))/mean(qlike(ForcHAR))
mean(qlike(ForcHARJ))/mean(qlike(ForcHAR))
mean(qlike(ForcCHAR))/mean(qlike(ForcHAR))
mean(qlike(HARJForc))/mean(qlike(HARForc))
mean(qlike(HARQForc))/mean(qlike(HARForc))#Slightly different from BPQ due to how I do the averaging vs how they do it (Both schemes make sense!)
mean(qlike(CHARForc))/mean(qlike(HARForc))


#######################Simulation#######################

set.seed(123)
lSim = HARSimulate(len = 4.5e4, periods = c(1,5,22),
coef = c(0.1, 0.38, 0.28, 0.28), errorTermSD = 0.01)

plot(lSim)

FitSim = HAREstimate(lSim@Simulation, periods = c(1,5,22))
FitSim = HAREstimate(lSim@simulation, periods = c(1,5,22))

plot(FitSim)

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