[0.93, 0.9, 0.2])
print g11res
llf = loglike_GARCH11(g11res, errgjr4 - errgjr4.mean())
print llf[0]
if 'rpyfit' in examples:
from rpy import r
r.library('fGarch')
f = r.formula('~garch(1, 1)')
fit = r.garchFit(f, data=errgjr4 - errgjr4.mean(), include_mean=False)
if 'rpysim' in examples:
from rpy import r
f = r.formula('~garch(1, 1)')
#fit = r.garchFit(f, data = errgjr4)
x = r.garchSim(n=500)
print 'R acf', tsa.acf(np.power(x, 2))[:15]
arma3 = Arma(np.power(x, 2))
arma3res = arma3.fit(start_params=[-0.2, 0.1, 0.5], maxiter=5000)
print arma3res.params
arma3b = Arma(np.power(x, 2))
arma3bres = arma3b.fit(start_params=[-0.2, 0.1, 0.5],
maxiter=5000,
method='bfgs')
print arma3bres.params
xr = r.garchSim(n=100)
x = np.asarray(xr)
ggmod = Garch(x - x.mean())
ggmod.nar = 1
print('ggres0.params', ggres0.params)
ggmod0 = Garch0(errgjr4-errgjr4.mean())#hgjr4[:nobs])#-hgjr4.mean()) #errgjr4)
ggmod0.nar = 1
ggmod.nma = 1
start_params = np.array([-0.6, 0.2, 0.1])
ggmod0._start_params = start_params #np.array([-0.6, 0.1, 0.2, 0.0])
ggres0 = ggmod0.fit(start_params=start_params, method='bfgs', maxiter=2000)
print('ggres0.params', ggres0.params)
if 'rpy' in examples:
from rpy import r
f = r.formula('~garch(1, 1)')
#fit = r.garchFit(f, data = errgjr4)
x = r.garchSim( n = 500)
print('R acf', tsa.acf(np.power(x,2))[:15])
arma3 = Arma(np.power(x,2))
arma3res = arma3.fit(start_params=[-0.2,0.1,0.5],maxiter=5000)
print(arma3res.params)
arma3b = Arma(np.power(x,2))
arma3bres = arma3b.fit(start_params=[-0.2,0.1,0.5],maxiter=5000, method='bfgs')
print(arma3bres.params)
llf = loglike_GARCH11([0.93, 0.9, 0.2], errgjr4)
print(llf[0])
erro,ho, etaxo = generate_gjrgarch(20, ar, ma, mu=0.04, scale=0.01,
varinnovation = np.ones(20))
g11res = optimize.fmin(lambda params: -loglike_GARCH11(params, errgjr4-errgjr4.mean())[0], [0.93, 0.9, 0.2])
print g11res
llf = loglike_GARCH11(g11res, errgjr4-errgjr4.mean())
print llf[0]
if 'rpyfit' in examples:
from rpy import r
r.library('fGarch')
f = r.formula('~garch(1, 1)')
fit = r.garchFit(f, data = errgjr4-errgjr4.mean(), include_mean=False)
if 'rpysim' in examples:
from rpy import r
f = r.formula('~garch(1, 1)')
#fit = r.garchFit(f, data = errgjr4)
x = r.garchSim( n = 500)
print 'R acf', tsa.acf(np.power(x,2))[:15]
arma3 = Arma(np.power(x,2))
arma3res = arma3.fit(start_params=[-0.2,0.1,0.5],maxiter=5000)
print arma3res.params
arma3b = Arma(np.power(x,2))
arma3bres = arma3b.fit(start_params=[-0.2,0.1,0.5],maxiter=5000, method='bfgs')
print arma3bres.params
xr = r.garchSim( n = 100)
x = np.asarray(xr)
ggmod = Garch(x-x.mean())
ggmod.nar = 1
ggmod.nma = 1
ggmod._start_params = np.array([-0.6, 0.1, 0.2, 0.0])
print('ggres0.params', ggres0.params)
ggmod0 = Garch0(errgjr4-errgjr4.mean())#hgjr4[:nobs])#-hgjr4.mean()) #errgjr4)
ggmod0.nar = 1
ggmod.nma = 1
start_params = np.array([-0.6, 0.2, 0.1])
ggmod0._start_params = start_params #np.array([-0.6, 0.1, 0.2, 0.0])
ggres0 = ggmod0.fit(start_params=start_params, method='bfgs', maxiter=2000)
print('ggres0.params', ggres0.params)
if 'rpy' in examples:
from rpy import r
f = r.formula('~garch(1, 1)')
#fit = r.garchFit(f, data = errgjr4)
x = r.garchSim( n = 500)
print('R acf', tsa.acf(np.power(x,2))[:15])
arma3 = Arma(np.power(x,2))
arma3res = arma3.fit(start_params=[-0.2,0.1,0.5],maxiter=5000)
print(arma3res.params)
arma3b = Arma(np.power(x,2))
arma3bres = arma3b.fit(start_params=[-0.2,0.1,0.5],maxiter=5000, method='bfgs')
print(arma3bres.params)
llf = loglike_GARCH11([0.93, 0.9, 0.2], errgjr4)
print(llf[0])
erro,ho, etaxo = generate_gjrgarch(20, ar, ma, mu=0.04, scale=0.01,
varinnovation = np.ones(20))
