ARCH-GARCH Models

Plot Return

n <- length(Y) #1: set length of vector Y ret <- log(Y[-1]/Y[-n]) #2: calculate log return colors = c("red", "yellow", "green", "violet", "orange", "blue", "pink", "cyan") #3: define colors barplot(ret, col=colors, main="Return", xlab="Y", ylab="Return (%)") #4: plot the return

ARCH-GARCH Using fGarch Package

n <- length(Y) #1: set length of vector Y ret <- log(Y[-1]/Y[-n]) #2: calculate log return library("fGarch") #3: load the "fGarch" R package #X.arch <- garchFit(formula=~garch(1,0), data=ret, trace=FALSE) #4: model ARCH(1) X.garch <- garchFit(formula=~garch(1,1), data=ret, trace=FALSE) #5: model GARCH(1,1) #summary(X.arch) #6: summary of ARCH(1) summary(X.garch) #7: summary of GARCH(1,1) barplot(ret) #8: plot return #barplot(X.garch@residuals) #9: plot residuals

ARCH-GARCH Using TSeries Package

n <- length(Y) #1: set length of vector Y ret <- log(Y[-1]/Y[-n]) #2: calculate log return library("tseries") #3: load the "tseries" R package X.arch <- garch(ret, order=c(1,0)) #4: model ARCH(1) X.garch <- garch(ret, order=c(1,1)) #5: model GARCH(1,1) summary(X.arch) #6: summary of ARCH(1) summary(X.garch) #7: summary of GARCH(1,1) plot(X.garch) #8: plot GARCH model