CODEWITHSUNDEEP
rtime-seriesextract
student_R123
student_R123

Reputation: 1002

Extract prediction intervals from ugarchboot output using R

I fitted an ARMA-GARCH model for the following simulated data and finally obtained the bootstrapping prediction intervals. I used the rugrach package in R.

    ar.sim<-arima.sim(model=list(ar=c(.9,-.2),ma=c(-.7,.1)),n=100)
    logr=diff(log(na.omit(ar.sim)))
require(rugrach)
    gar<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(2, 1)), 
                        mean.model = list(armaOrder = c(2, 1)), 
                        distribution.model = "norm");
    fitg=ugarchfit(spec = gar,data = ar.sim,solver = "hybrid");
    garch11.boot = ugarchboot(fitg, method="Partial", 
                               n.ahead=10, n.bootpred=2000)

My output of the bootstrap results as follows and my question is based on this output,

> garch11.boot

*-----------------------------------*
*     GARCH Bootstrap Forecast      *
*-----------------------------------*
Model : sGARCH
n.ahead : 10
Bootstrap method:  partial
Date (T[0]): 0100-01-01

Series (summary):
         min     q.25     mean    q.75    max forecast[analytic]
t+1  -1.5418 -0.60011 0.111638 0.78600 2.9529            0.12522
t+2  -1.8665 -0.66265 0.110356 0.74133 3.1840            0.12857
t+3  -1.9302 -0.61371 0.111750 0.73367 3.4751            0.10131
t+4  -1.8828 -0.64614 0.104376 0.75553 3.2405            0.11716
t+5  -1.8306 -0.61477 0.135969 0.76970 3.4603            0.10583
t+6  -1.8864 -0.65527 0.130858 0.74737 3.4491            0.11362
t+7  -1.9581 -0.61335 0.122836 0.75270 3.1523            0.10822
t+8  -1.8804 -0.61070 0.114942 0.74431 3.3355            0.11196
t+9  -1.8663 -0.70012 0.061826 0.70271 3.2432            0.10937
t+10 -1.9256 -0.67817 0.055261 0.64646 3.3439            0.11116
.....................

Sigma (summary):
         min   q0.25    mean   q0.75     max forecast[analytic]
t+1  0.90218 0.90218 0.90218 0.90218 0.90218            0.90218
t+2  0.90107 0.90107 0.90107 0.90107 0.90107            0.90107
t+3  0.89997 0.89997 0.89997 0.89997 0.89997            0.89997
t+4  0.89887 0.89887 0.89887 0.89887 0.89887            0.89887
t+5  0.89777 0.89777 0.89777 0.89777 0.89777            0.89777
t+6  0.89667 0.89667 0.89667 0.89667 0.89667            0.89667
t+7  0.89557 0.89557 0.89557 0.89557 0.89557            0.89557
t+8  0.89447 0.89447 0.89447 0.89447 0.89447            0.89447
t+9  0.89337 0.89337 0.89337 0.89337 0.89337            0.89337
t+10 0.89228 0.89228 0.89228 0.89228 0.89228            0.89228
.....................

My question is how to extract lower limit and upper limit (q0.25 and q0.75 )columns from this output ? I used str(garch11.boot) , but couldn't find anything related to this.

Upvotes: 0

Views: 997

Answers (1)

Tonio Liebrand
Tonio Liebrand

Reputation: 17689

The data is within garch11.boot@forc.

You can extract it by running the following code:

sig = sigma(garch11.boot@forc)
ser = fitted(garch11.boot@forc)
zs = cbind(t(as.data.frame(garch11.boot, which = "sigma", type = "summary")),  sig)
zr = cbind(t(as.data.frame(garch11.boot, which = "series", type = "summary")), ser)
zr[, c(2, 4)]
zs[, c(2, 4)]

Explanation:

One way to arrive at this code is to reverse engineer the print() method of that package, where you see your desired result. You can find the print method here: https://github.com/cran/rugarch/blob/1ad7e9ddb5ebaea9b191eb8326353334196f3ebc/R/rugarch-methods.R#L1607. Going through that code will lead you to the code provided above.

Upvotes: 2

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