金融时间序列中FIGARCH模型如何在R中实现？

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我在rugarch包中调用ugarchspec（）函数，其中对条件方差建模的说明项如下：
ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1),
submodel = NULL, external.regressors = NULL, variance.targeting = FALSE), ...)

List containing the variance model specification:
model Valid models (currently implemented) are “sGARCH”, “fGARCH”, “eGARCH”, “gjrGARCH”, “apARCH” and “iGARCH” and “csGARCH”.
submodel If the model is “fGARCH”, valid submodels are “GARCH”, “TGARCH”, “AVGARCH”, “NGARCH”, “NAGARCH”, “APARCH”,“GJRGARCH” and “ALLGARCH”.
请问大侠们，这里如何用FIGARCH啊？

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关键词：FIGARCH GARCH模型 金融时间序列 ARCH模型 IGarch 模型 如何

I am trying to estimate a FIGARCH(1,1) model in R for Value-at-Risk purposes. As I understand it, the rugarch package does not support FIGARCH or FIEGARCH. To that end, I used the garchOxFit function (which runs the estimation in Ox, whilst interfacing with R).

It all works and I am left with the the fitted conditional volatility and the parameter estimates. My problem now is to use that to get the analytic VaR estimate for the next day.

For a simple GARCH(1,1) that is fine: take the last estimated conditional volatility of the sample as well as the last squared residual; plug those into the GARCH equation along with the parameter estimates to get the next day's predicted volatility. One would then use with a quantile function based on whatever distribution was assumed to calculate the analytic VaR.

Problem is I am too simple to see how to do get the vol estimate with a FIGARCH model. I have the following maximum likelihood estimates for the FIGARCH parameters:

Cst(V) x 10^4 : 0.076547 #ie. constant in GARCH equation (omega)
d-Figarch : 0.584467
ARCH(Phi1) : 0.122547
GARCH(Beta1) : 0.643318

I have looked at Bollerslev's initial paper on FIGARCH, and am still clueless as to how one gets the next recursive volatility estimate given the parameter estimates and previous day's volatility and squared residual. Any ideas? Any help would be very much appreciated.

Answer: If you scroll down the results of the GarchOxModelling output you will see the default 15 forecasts. You can edit the .ox file if you like. There is a G@rch help page that explains more options. core.ucl.ac.be/~laurent/G@RCH/site/default.htm There is also a paper that says 1 day ahead figarch is no better than basic garch. editorialexpress.com/cgi-bin/conference

That means you have solved FIGARCH model,but I can't find garchOXfit function.My version is 3.0.2,this function is no longer part of fGarch package,so I want to know how do you deal with the FIGARCH model.Plz hlep me.Thank you very much.

lsx19890717 发表于 2013-11-5 10:56
That means you have solved FIGARCH model,but I can't find garchOXfit function.My version is 3.0.2,th ...

你好，我也在找如何在R当中做FIGARCH的方法，请问你找到了解决方案 了吗

同问，有人知道在R中怎么做FIGARCH模型的话，能不能回复一下，拜谢！急求！

同问，有人知道在R中怎么做FIGARCH模型的话，能不能回复一下，拜谢！急求！

That means you have solved FIGARCH model,but I can't find garchOXfit function.My version is R 3.4.4,this function is no longer part of fGarch package,so I want to know how do you deal with the FIGARCH model.Plz hlep me.Thank you very much.