diff --git a/Using HARModel.R b/Using HARModel.R index 1ca6ec0..9e9617f 100644 --- a/Using HARModel.R +++ b/Using HARModel.R @@ -9,27 +9,27 @@ SP500rq = SP500RM$RQ SP500bpv = SP500RM$BPV #######################Estimation####################### -FitHAR = HARestimate(as.vector(SP500rv), periods = c(1,5,22)) +FitHAR = HAREstimate(as.vector(SP500rv), periods = c(1,5,22)) -FitCHAR = HARestimate(SP500rv, BPV = SP500bpv, periods = c(1,5,22), type = "CHAR") +FitCHAR = 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") +FitCHARQ = HAREstimate(SP500rv, BPV = SP500bpv, RQ = SP500rq, periods = c(1,5,22), periodsRQ = c(1), type = "CHARQ") -FitHARJ = HARestimate(RM = SP500rv, BPV = SP500bpv, +FitHARJ = HAREstimate(RM = SP500rv, BPV = SP500bpv, periods = c(1,5,22), periodsJ = c(1), type = "HARJ" ) -FitHARQ = HARestimate(RM = SP500rv, RQ = SP500rq, periods = c(1,5,22 ), +FitHARQ = HAREstimate(RM = SP500rv, RQ = SP500rq, periods = c(1,5,22 ), periodsRQ = c(1), type = "HARQ") -FitFullHARQ = HARestimate(RM = SP500rv, RQ = SP500rq, periods = c(1,5,22 ), +FitFullHARQ = HAREstimate(RM = SP500rv, RQ = SP500rq, periods = c(1,5,22 ), periodsRQ = c(1,5,22), type = "HARQ") -FitHARQJ = HARestimate(RM = SP500rv, BPV = SP500bpv, +FitHARQJ = HAREstimate(RM = SP500rv, BPV = SP500bpv, RQ = SP500rq, periods = c(1,5,22), periodsJ = c(1,5,22), periodsRQ = c(1), type = "HARQ-J") -FitFullHARQJ = HARestimate(RM = SP500rv, BPV = SP500bpv, +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") @@ -48,49 +48,49 @@ mean(qlike(FitHARQ)) #######################Forecasting####################### -ForcHAR = HARforecast(SP500rv, periods = c(1,5,22) ,iNRoll = 3096, iNAhead = 50, type = "HAR" ) -ForcHARI = HARforecast(SP500rv, periods = c(1,5,22) ,iNRoll = 3096, - iNAhead = 1, type = "HAR", windowType = "increasing" ) +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" ) -ForcHARJ = HARforecast(SP500rv, BPV = SP500bpv, periods = c(1,5,22), - periodsJ = c(1) ,iNRoll = 3096, - iNAhead = 50, type = "HARJ" ) -ForcHARJI = HARforecast(SP500rv, BPV = SP500bpv, periods = c(1,5,22), - periodsJ = c(1) ,iNRoll = 3096, - iNAhead = 1, type = "HARJ", windowType = "increasing" ) +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" ) -ForcFULLHARJ = HARforecast(SP500rv, BPV = SP500bpv, periods = c(1,5,22), - periodsJ = c(1,5,22) ,iNRoll = 3096, - iNAhead = 1, type = "HARJ" ) -ForcHARQ = HARforecast(as.vector(SP500rv), RQ = SP500rq, periods = c(1,5,22), - periodsRQ = c(1), iNRoll = 3096, iNAhead = 1, +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" ) -ForcFULLHARQ = HARforecast(SP500rv, RQ= SP500rq, periods = c(1,5,22), - periodsRQ = c(1,5,22), iNRoll = 3096, iNAhead = 1, +ForcFULLHARQ = HARForecast(SP500rv, RQ= SP500rq, periods = c(1,5,22), + periodsRQ = c(1,5,22), nRoll = 3096, nAhead = 1, type = "HARQ" ) -ForcHARQJ = HARforecast(as.numeric(SP500rv), RQ = SP500rq, BPV = SP500bpv, +ForcHARQJ = HARForecast(as.numeric(SP500rv), RQ = SP500rq, BPV = SP500bpv, periods = c(1,5,22), periodsJ = c(1), - periodsRQ = c(1), iNRoll = 3096, - iNAhead = 1, type = "HARQ-J" ) + periodsRQ = c(1), nRoll = 3096, + nAhead = 1, type = "HARQ-J" ) -ForcCHAR = HARforecast(as.numeric(SP500rv), RQ = SP500rq, BPV = SP500bpv, +ForcCHAR = HARForecast(as.numeric(SP500rv), RQ = SP500rq, BPV = SP500bpv, periods = c(1,5,22), periodsJ = c(1), - periodsRQ = c(1), iNRoll = 3096, - iNAhead = 1, type = "CHAR" ) + periodsRQ = c(1), nRoll = 3096, + nAhead = 1, type = "CHAR" ) -ForcCHARQ = HARforecast(as.numeric(SP500rv), RQ = SP500rq, BPV = SP500bpv, +ForcCHARQ = HARForecast(as.numeric(SP500rv), RQ = SP500rq, BPV = SP500bpv, periods = c(1,5,22), periodsJ = c(1), - periodsRQ = c(1), iNRoll = 3096, - iNAhead = 1, type = "CHARQ" ) + periodsRQ = c(1), nRoll = 3096, + nAhead = 1, type = "CHARQ" ) ##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(ForcHAR)^2)/mean(forecastRes(ForcHAR)^2) +mean(forecastRes(ForcHARJ)^2)/mean(forecastRes(ForcHAR)^2) +mean(forecastRes(ForcCHAR)^2)/mean(forecastRes(ForcHAR)^2) mean(qlike(ForcHAR))/mean(qlike(ForcHAR)) @@ -101,11 +101,11 @@ mean(qlike(ForcCHAR))/mean(qlike(ForcHAR)) #######################Simulation####################### set.seed(123) -lSim = HARsimulate(iLength = 4.5e4, periods = c(1,5,22), - coef = c(0.1, 0.38, 0.28, 0.28), Sigma = 0.01) +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)