DCC- TGARCH R语言的实现

最近在做时间序列有关的论文，学习了DCC-GARCH模型。

发现R里面可以实现基于T分布建模

需要用到rugarch rmgarch包

代码：

library(ggplot2)
#画出时序图
ggplot(data = df)+
  geom_line(aes(date, variable1),size=0.3) +
  theme_classic()+
  labs(title = "Insurance", # 定义主标题
       x = "Date", # 定义x轴文本
       y = "Return") + # 定义y轴文本
  theme(plot.title = element_text(hjust = 0.5))
ggsave(filename = "rins.png",
       width = 14,             # 宽
       height = 7,            # 高
       units = "in",          # 单位
       dpi = 300  )            # 分辨率DPI 

#描述性统计
library(pastecs)
summ <- stat.desc(df,basic=TRUE,desc=TRUE,norm=TRUE,p=0.95)
write.table(summ,"summary.csv",sep=",")

#ACF单位根检验
library(tseries)
Dickey_Fuller = 0  #（保存Dickey_Fuller的向量）
ADF_p = 0    #（保存p值的向量）
for( i in 1:5){
  adf = adf.test(return[,i])
  Dickey_Fuller[i] = adf$statistic[1] #（提取Dickey_Fuller）
  ADF_p[i] = adf$p.value[1] #（提取p值）
}
name <- c("variable1","variable2","variable3","variable4","variable5") 
adf_result = cbind(name,Dickey_Fuller,ADF_p)
write.csv(adf_result,"adf.csv") # 结果储存

# LM检验
library(FinTS)
Lmtest = function(series,nm,max_lag){
  chi = 0
  lm_p = 0
  chi[1] = nm
  lm_p[1] = nm
  chi[2] = "chi"
  lm_p[2] = "p"
  for( lags in 1:max_lag){
    lm = ArchTest(x=series,lag=lags)
    chi[lags+2] = lm$statistic[1]
    lm_p[lags+2] = lm$p.value[1]
  }
  once_mat = rbind(chi,lm_p)
}

max_lag = 5
lm_mat = matrix(nrow=(2*length(x)),ncol=(max_lag+2))  
for (j in 1:length(x)){       
  start = 1+2*(j-1)
  end = 2*j
  lm_mat[start:end,] = Lmtest(x[,j],name[j],max_lag)
}
colnames(lm_mat) = append(c("变量","参数"),seq(from = 1, to = max_lag, by = 1))
write.csv(lm_mat,"lm_mat.csv")


library(rugarch)
library(rmgarch)
#dcc 模型
#设置基于T分布的模型，distribution是调整分布的参数，如果是正太分布写为"norm"
spec1 = ugarchspec(variance.model = list(model="sGARCH",garchOrder=c(1,1)),
                   mean.model = list(armaOrder=c(0,0)),distribution.model  = "std")
spec2 = ugarchspec(variance.model = list(model="sGARCH",garchOrder=c(1,1)), 
                     mean.model = list(armaOrder=c(0,0)),distribution.model  = "std")
mspec = multispec( c( spec1, spec2 ) )
spec = dccspec(mspec, VAR = FALSE, robust = FALSE,external.regressors = NULL, 
                 dccOrder = c(1,1), model = "DCC", distribution = "mvt") 


#建立模型带入数据
xt<-ts(data,start=1) #设置简单的时间序列

#ts是一个函数，将数据变为时间序列数据，但是我的数据不连续，所以按照简单的从1开始，如果数据是连续的，可以调整参数
#也可以不转化成时间序列数据，但之后plot时横坐标会不符合数据是从1960开始的

m1=dccfit(spec,xt[,1:2], out.sample = 0, solver = "solnp", solver.control = list(), 
            fit.control = list(eval.se = TRUE, stationarity = TRUE, scale = FALSE),
            cluster = NULL, fit = NULL, VAR.fit = NULL, realizedVol = NULL)
show(m1)
plot(m1)