rtime-seriesvolatility

Realized GARCH - specify “realizedVol” in the model fit

I want to estimate Realized GARCH (1,1) model. In my dataset I have the following time series:

ret <- replicate(1, rnorm(100))
RV <- replicate(1, rnorm(100))
date <- c(1:100)

I do the following:

install.packages("rugarch")
library(rugarch)
attspec <- ugarchspec(mean.model = list(armaOrder = c(0, 0), include.mean = FALSE), variance.model = list(model = 'realGARCH', garchOrder = c(1, 1)))
fit <- ugarchfit(spec=attspec, data=ret, solver = 'hybrid', realizedVol = RV[, 1])

After the last line I get an error: realizedVol must be an xts object

I tried to convert my RV matrix into xts object using the examples given in the description of the xts package:

require(xts)
rownames(RV) <- date
matrix_xts <- as.xts(RV,dateFormat='Date')

or

df_xts <- as.xts(as.data.frame(RV))

In both cases the error is character string is not in a standard unambiguous format

So, what should I do in order to make a suitable format of xts objest for the realizedVol specification?

Solution

  • You should have both ret and RV as xts objects, they can be initialized in the following way:

    times<-Sys.time()+date
ret_xts<-xts(ret,order.by = times)
RV_xts <- xts(RV,order.by = times)

    and then you can successfully call:

    fit <- ugarchfit(spec=attspec, data=ret_xts, solver = 'hybrid', realizedVol = RV_xts)