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univariatearchmodel.jl
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univariatearchmodel.jl
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"""
BG96
Data from [Bollerslev and Ghysels (JBES 1996)](https://doi.org/10.2307/1392425).
"""
const BG96 = readdlm(joinpath(dirname(pathof(ARCHModels)), "data", "bollerslev_ghysels.txt"), skipstart=1)[:, 1];
"""
UnivariateVolatilitySpec{T} <: VolatilitySpec{T} end
Abstract supertype that univariate volatility specifications inherit from.
"""
abstract type UnivariateVolatilitySpec{T} <: VolatilitySpec{T} end
"""
StandardizedDistribution{T} <: Distributions.Distribution{Univariate, Continuous}
Abstract supertype that standardized distributions inherit from.
"""
abstract type StandardizedDistribution{T} <: Distribution{Univariate, Continuous} end
"""
UnivariateARCHModel{T<:AbstractFloat,
VS<:UnivariateVolatilitySpec,
SD<:StandardizedDistribution{T},
MS<:MeanSpec{T}
} <: ARCHModel
"""
mutable struct UnivariateARCHModel{T<:AbstractFloat,
VS<:UnivariateVolatilitySpec,
SD<:StandardizedDistribution{T},
MS<:MeanSpec{T}
} <: ARCHModel
spec::VS
data::Vector{T}
dist::SD
meanspec::MS
fitted::Bool
function UnivariateARCHModel{T, VS, SD, MS}(spec, data, dist, meanspec, fitted) where {T, VS, SD, MS}
new(spec, data, dist, meanspec, fitted)
end
end
mutable struct UnivariateSubsetARCHModel{T<:AbstractFloat,
VS<:UnivariateVolatilitySpec,
SD<:StandardizedDistribution{T},
MS<:MeanSpec{T},
N
} <: ARCHModel
spec::VS
data::Vector{T}
dist::SD
meanspec::MS
fitted::Bool
subset::NTuple{N, Int}
function UnivariateSubsetARCHModel{T, VS, SD, MS, N}(spec, data, dist, meanspec, fitted, subset) where {T, VS, SD, MS, N}
new(spec, data, dist, meanspec, fitted, subset)
end
end
"""
UnivariateARCHModel(spec::UnivariateVolatilitySpec, data::Vector; dist=StdNormal(),
meanspec=NoIntercept(), fitted=false
)
Create a UnivariateARCHModel.
# Example:
```jldoctest
julia> UnivariateARCHModel(GARCH{1, 1}([1., .9, .05]), randn(10))
GARCH{1, 1} model with Gaussian errors, T=10.
─────────────────────────────────────────
ω β₁ α₁
─────────────────────────────────────────
Volatility parameters: 1.0 0.9 0.05
─────────────────────────────────────────
```
"""
function UnivariateARCHModel(spec::VS,
data::Vector{T};
dist::SD=StdNormal{T}(),
meanspec::MS=NoIntercept{T}(),
fitted::Bool=false
) where {T<:AbstractFloat,
VS<:UnivariateVolatilitySpec,
SD<:StandardizedDistribution,
MS<:MeanSpec
}
UnivariateARCHModel{T, VS, SD, MS}(spec, data, dist, meanspec, fitted)
end
function UnivariateSubsetARCHModel(spec::VS,
data::Vector{T};
dist::SD=StdNormal{T}(),
meanspec::MS=NoIntercept{T}(),
fitted::Bool=false,
subset::NTuple{N, Int}
) where {T<:AbstractFloat,
VS<:UnivariateVolatilitySpec,
SD<:StandardizedDistribution,
MS<:MeanSpec,
N
}
UnivariateSubsetARCHModel{T, VS, SD, MS, N}(spec, data, dist, meanspec, fitted, subset)
end
loglikelihood(am::UnivariateARCHModel) = loglik(typeof(am.spec), typeof(am.dist),
am.meanspec, am.data,
vcat(am.spec.coefs, am.dist.coefs,
am.meanspec.coefs
)
)
loglikelihood(am::UnivariateSubsetARCHModel) = loglik(typeof(am.spec), typeof(am.dist),
am.meanspec, am.data,
vcat(am.spec.coefs, am.dist.coefs,
am.meanspec.coefs
),
subsetmask(typeof(am.spec), am.subset)
)
dof(am::UnivariateARCHModel) = nparams(typeof(am.spec)) + nparams(typeof(am.dist)) + nparams(typeof(am.meanspec))
dof(am::UnivariateSubsetARCHModel) = nparams(typeof(am.spec), am.subset) + nparams(typeof(am.dist)) + nparams(typeof(am.meanspec))
coef(am::UnivariateARCHModel)=vcat(am.spec.coefs, am.dist.coefs, am.meanspec.coefs)
coefnames(am::UnivariateARCHModel) = vcat(coefnames(typeof(am.spec)),
coefnames(typeof(am.dist)),
coefnames(am.meanspec)
)
# documented in general
function simulate(spec::UnivariateVolatilitySpec{T2}, nobs; warmup=100, dist::StandardizedDistribution{T2}=StdNormal{T2}(),
meanspec::MeanSpec{T2}=NoIntercept{T2}(),
rng=GLOBAL_RNG
) where {T2<:AbstractFloat}
data = zeros(T2, nobs)
_simulate!(data, spec; warmup=warmup, dist=dist, meanspec=meanspec, rng=rng)
UnivariateARCHModel(spec, data; dist=dist, meanspec=meanspec, fitted=false)
end
function _simulate!(data::Vector{T2}, spec::UnivariateVolatilitySpec{T2};
warmup=100,
dist::StandardizedDistribution{T2}=StdNormal{T2}(),
meanspec::MeanSpec{T2}=NoIntercept{T2}(),
rng=GLOBAL_RNG
) where {T2<:AbstractFloat}
@assert warmup>=0
append!(data, zeros(T2, warmup))
T = length(data)
r1 = presample(typeof(spec))
r2 = presample(meanspec)
r = max(r1, r2)
r = max(r, 1) # make sure this works for, e.g., ARCH{0}; CircularBuffer requires at least a length of 1
ht = CircularBuffer{T2}(r)
lht = CircularBuffer{T2}(r)
zt = CircularBuffer{T2}(r)
at = CircularBuffer{T2}(r)
@inbounds begin
h0 = uncond(typeof(spec), spec.coefs)
m0 = uncond(meanspec)
h0 > 0 || error("Model is nonstationary.")
for t = 1:T
if t>r2
themean = mean(at, ht, lht, data, meanspec, meanspec.coefs, t)
else
themean = m0
end
if t>r1
update!(ht, lht, zt, at, typeof(spec), spec.coefs)
else
push!(ht, h0)
push!(lht, log(h0))
end
push!(zt, rand(rng, dist))
push!(at, sqrt(ht[end])*zt[end])
data[t] = themean + at[end]
end
end
deleteat!(data, 1:warmup)
end
@inline function splitcoefs(coefs, VS, SD, meanspec)
ng = nparams(VS)
nd = nparams(SD)
nm = nparams(typeof(meanspec))
length(coefs) == ng+nd+nm || throw(NumParamError(ng+nd+nm, length(coefs)))
garchcoefs = coefs[1:ng]
distcoefs = coefs[ng+1:ng+nd]
meancoefs = coefs[ng+nd+1:ng+nd+nm]
return garchcoefs, distcoefs, meancoefs
end
"""
volatilities(am::UnivariateARCHModel)
Return the conditional volatilities.
"""
function volatilities(am::UnivariateARCHModel{T, VS, SD}) where {T, VS, SD}
ht = Vector{T}(undef, 0)
lht = Vector{T}(undef, 0)
zt = Vector{T}(undef, 0)
at = Vector{T}(undef, 0)
loglik!(ht, lht, zt, at, VS, SD, am.meanspec, am.data, vcat(am.spec.coefs, am.dist.coefs, am.meanspec.coefs))
return sqrt.(ht)
end
"""
predict(am::UnivariateARCHModel, what=:volatility, horizon=1; level=0.01)
Form a `horizon`-step ahead prediction from `am`. `what` controls which object is predicted.
The choices are `:volatility` (the default), `:variance`, `:return`, and `:VaR`. The VaR
level can be controlled with the keyword argument `level`.
Not all prediction targets / volatility specifications support multi-step predictions.
"""
function predict(am::UnivariateARCHModel{T, VS, SD}, what=:volatility, horizon=1; level=0.01) where {T, VS, SD, MS}
ht = volatilities(am).^2
lht = log.(ht)
zt = residuals(am)
at = residuals(am, standardized=false)
themean = T(0)
if horizon > 1
if what == :VaR
error("Predicting VaR more than one period ahead is not implemented. Consider predicting one period ahead and scaling by `sqrt(horizon)`.")
elseif what == :volatility
error("Predicting volatility more than one period ahead is not implemented.")
elseif what == :variance && !(VS <: TGARCH)
error("Predicting variance more than one period ahead is not implemented for $(modname(VS)).")
end
end
data = copy(am.data)
for current_horizon = (1 : horizon)
t = length(am.data) + current_horizon
if what == :return || what == :VaR
themean = mean(at, ht, lht, data, am.meanspec, am.meanspec.coefs, t)
end
update!(ht, lht, zt, at, VS, am.spec.coefs, current_horizon)
push!(zt, 0.)
push!(at, 0.)
push!(data, themean)
end
if what == :return
return themean
elseif what == :volatility
return sqrt(ht[end])
elseif what == :variance
return ht[end]
elseif what == :VaR
return -themean - sqrt(ht[end]) * quantile(am.dist, level)
else error("Prediction target $what unknown.")
end
end
"""
means(am::UnivariateARCHModel)
Return the conditional means of the model.
"""
function means(am::UnivariateARCHModel)
return am.data-residuals(am; standardized=false)
end
"""
residuals(am::UnivariateARCHModel; standardized=true)
Return the residuals of the model. Pass `standardized=false` for the non-devolatized residuals.
"""
function residuals(am::UnivariateARCHModel{T, VS, SD}; standardized=true) where {T, VS, SD}
ht = Vector{T}(undef, 0)
lht = Vector{T}(undef, 0)
zt = Vector{T}(undef, 0)
at = Vector{T}(undef, 0)
loglik!(ht, lht, zt, at, VS, SD, am.meanspec, am.data, vcat(am.spec.coefs, am.dist.coefs, am.meanspec.coefs))
return standardized ? zt : at
end
"""
VaRs(am::UnivariateARCHModel, level=0.01)
Return the in-sample Value at Risk implied by `am`.
"""
function VaRs(am::UnivariateARCHModel, level=0.01)
return -means(am) .- volatilities(am) .* quantile(am.dist, level)
end
#this works on CircularBuffers. The idea is that ht/lht/zt need to be allocated
#inside of this function, when the type that Optim it with is known (because
#it calls it with dual numbers for autodiff to work). It works with arrays, too,
#but grows them by length(data); hence it should be called with an empty one-
#dimensional array of the right type.
@inline function loglik!(ht::AbstractVector{T2}, lht::AbstractVector{T2},
zt::AbstractVector{T2}, at::AbstractVector{T2}, vs::Type{VS}, ::Type{SD}, meanspec::MS,
data::Vector{T1}, coefs::AbstractVector{T3}, subsetmask=trues(nparams(vs)), returnearly=false
) where {VS<:UnivariateVolatilitySpec, SD<:StandardizedDistribution,
MS<:MeanSpec, T1<:AbstractFloat, T2, T3
}
garchcoefs, distcoefs, meancoefs = splitcoefs(coefs, VS, SD, meanspec)
lowergarch, uppergarch = constraints(VS, T1)
lowerdist, upperdist = constraints(SD, T1)
lowermean, uppermean = constraints(MS, T1)
all_inbounds = all(lowerdist.<distcoefs.<upperdist) && all(lowermean.<meancoefs.<uppermean) && all(lowergarch[subsetmask].<garchcoefs[subsetmask].<uppergarch[subsetmask])
returnearly && !all_inbounds && return T2(-Inf)
garchcoefs .*= subsetmask
T = length(data)
r1 = presample(VS)
r2 = presample(meanspec)
r = max(r1, r2)
T - r > 0 || error("Sample too small.")
ki = kernelinvariants(SD, distcoefs)
@inbounds begin
h0 = var(data) # could be moved outside
m0 = mean(data)
#h0 = uncond(VS, garchcoefs)
#h0 > 0 || return T2(NaN)
LL = zero(T2)
for t = 1:T
if t>r2
themean = mean(at, ht, lht, data, meanspec, meancoefs, t)
else
themean = m0
end
if t > r1
update!(ht, lht, zt, at, VS, garchcoefs)
else
push!(ht, h0)
push!(lht, log(h0))
end
ht[end] < 0 && return T2(NaN)
push!(at, data[t]-themean)
push!(zt, at[end]/sqrt(ht[end]))
LL += -lht[end]/2 + logkernel(SD, zt[end], distcoefs, ki...)
end#for
end#inbounds
LL += T*logconst(SD, distcoefs)
return all_inbounds ? LL : T2(-Inf)
end#function
function loglik(spec::Type{VS}, dist::Type{SD}, meanspec::MS,
data::Vector{<:AbstractFloat}, coefs::AbstractVector{T2}, subsetmask=trues(nparams(spec)), returnearly=false
) where {VS<:UnivariateVolatilitySpec, SD<:StandardizedDistribution,
MS<:MeanSpec, T2
}
r = max(presample(VS), presample(meanspec))
r = max(r, 1) # make sure this works for, e.g., ARCH{0}; CircularBuffer requires at least a length of 1
ht = CircularBuffer{T2}(r)
lht = CircularBuffer{T2}(r)
zt = CircularBuffer{T2}(r)
at = CircularBuffer{T2}(r)
loglik!(ht, lht, zt, at, spec, dist, meanspec, data, coefs, subsetmask, returnearly)
end
function logliks(spec, dist, meanspec, data, coefs::Vector{T}) where {T}
garchcoefs, distcoefs, meancoefs = splitcoefs(coefs, spec, dist, meanspec)
ht = T[]
lht = T[]
zt = T[]
at = T[]
loglik!(ht, lht, zt, at, spec, dist, meanspec, data, coefs)
LLs = -lht./2 .+ logkernel.(dist, zt, Ref{Vector{T}}(distcoefs), kernelinvariants(dist, distcoefs)...) .+ logconst(dist, distcoefs)
end
function informationmatrix(am::UnivariateARCHModel; expected::Bool=true)
expected && error("expected informationmatrix is not implemented for UnivariateARCHModel. Use expected=false.")
g = x -> sum(logliks(typeof(am.spec), typeof(am.dist), am.meanspec, am.data, x))
H = ForwardDiff.hessian(g, vcat(am.spec.coefs, am.dist.coefs, am.meanspec.coefs))
J = -H
end
function scores(am::UnivariateARCHModel)
f = x -> logliks(typeof(am.spec), typeof(am.dist), am.meanspec, am.data, x)
S = ForwardDiff.jacobian(f, vcat(am.spec.coefs, am.dist.coefs, am.meanspec.coefs))
end
function _fit!(garchcoefs::Vector{T}, distcoefs::Vector{T},
meancoefs::Vector{T}, ::Type{VS}, ::Type{SD}, meanspec::MS,
data::Vector{T}; algorithm=BFGS(), autodiff=:forward, kwargs...
) where {VS<:UnivariateVolatilitySpec, SD<:StandardizedDistribution,
MS<:MeanSpec, T<:AbstractFloat
}
obj = x -> -loglik(VS, SD, meanspec, data, x, trues(length(garchcoefs)), true)
coefs = vcat(garchcoefs, distcoefs, meancoefs)
res = optimize(obj, coefs, algorithm; autodiff=autodiff, kwargs...)
coefs .= Optim.minimizer(res)
ng = nparams(VS)
ns = nparams(SD)
nm = nparams(typeof(meanspec))
garchcoefs .= coefs[1:ng]
distcoefs .= coefs[ng+1:ng+ns]
meancoefs .= coefs[ng+ns+1:ng+ns+nm]
meanspec.coefs .= meancoefs
return nothing
end
"""
fit(VS::Type{<:UnivariateVolatilitySpec}, data; dist=StdNormal, meanspec=Intercept,
algorithm=BFGS(), autodiff=:forward, kwargs...)
Fit the ARCH model specified by `VS` to `data`. `data` can be a vector or a
GLM.LinearModel (or GLM.TableRegressionModel).
# Keyword arguments:
- `dist=StdNormal`: the error distribution.
- `meanspec=Intercept`: the mean specification, either as a type or instance of that type.
- `algorithm=BFGS(), autodiff=:forward, kwargs...`: passed on to the optimizer.
# Example: EGARCH{1, 1, 1} model without intercept, Student's t errors.
```jldoctest
julia> fit(EGARCH{1, 1, 1}, BG96; meanspec=NoIntercept, dist=StdT)
EGARCH{1, 1, 1} model with Student's t errors, T=1974.
Volatility parameters:
──────────────────────────────────────────────
Estimate Std.Error z value Pr(>|z|)
──────────────────────────────────────────────
ω -0.0162014 0.0186806 -0.867286 0.3858
γ₁ -0.0378454 0.018024 -2.09972 0.0358
β₁ 0.977687 0.012558 77.8538 <1e-99
α₁ 0.255804 0.0625497 4.08961 <1e-04
──────────────────────────────────────────────
Distribution parameters:
─────────────────────────────────────────
Estimate Std.Error z value Pr(>|z|)
─────────────────────────────────────────
ν 4.12423 0.40059 10.2954 <1e-24
─────────────────────────────────────────
```
"""
function fit(::Type{VS}, data::Vector{T}; dist::Type{SD}=StdNormal{T},
meanspec::Union{MS, Type{MS}}=Intercept{T}(T[0]), algorithm=BFGS(),
autodiff=:forward, kwargs...
) where {VS<:UnivariateVolatilitySpec, SD<:StandardizedDistribution,
MS<:MeanSpec, T<:AbstractFloat
}
#can't use dispatch for this b/c meanspec is a kwarg
meanspec isa Type ? ms = meanspec(zeros(T, nparams(meanspec))) : ms = deepcopy(meanspec)
coefs = startingvals(VS, data)
distcoefs = startingvals(SD, data)
meancoefs = startingvals(ms, data)
_fit!(coefs, distcoefs, meancoefs, VS, SD, ms, data; algorithm=algorithm, autodiff=autodiff, kwargs...)
return UnivariateARCHModel(VS(coefs), data; dist=SD(distcoefs), meanspec=ms, fitted=true)
end
function fitsubset(::Type{VS}, data::Vector{T}, maxlags::Int, subset::Tuple; dist::Type{SD}=StdNormal{T},
meanspec::Union{MS, Type{MS}}=Intercept{T}(T[0]), algorithm=BFGS(),
autodiff=:forward, kwargs...
) where {VS<:UnivariateVolatilitySpec, SD<:StandardizedDistribution,
MS<:MeanSpec, T<:AbstractFloat
}
#can't use dispatch for this b/c meanspec is a kwarg
meanspec isa Type ? ms = meanspec(zeros(T, nparams(meanspec))) : ms = deepcopy(meanspec)
VS_large = VS{ntuple(i->maxlags, length(subset))...}
ng = nparams(VS_large)
ns = nparams(SD)
nm = nparams(typeof(ms))
mask = subsetmask(VS_large, subset)
garchcoefs = startingvals(VS_large, data, subset)
distcoefs = startingvals(SD, data)
meancoefs = startingvals(ms, data)
obj = x -> -loglik(VS_large, SD, ms, data, x, mask, true)
coefs = vcat(garchcoefs, distcoefs, meancoefs)
res = optimize(obj, coefs, algorithm; autodiff=autodiff, kwargs...)
coefs .= Optim.minimizer(res)
garchcoefs .= coefs[1:ng]
distcoefs .= coefs[ng+1:ng+ns]
meancoefs .= coefs[ng+ns+1:ng+ns+nm]
ms.coefs .= meancoefs
return UnivariateSubsetARCHModel(VS_large(garchcoefs), data; dist=SD(distcoefs), meanspec=ms, fitted=true, subset=subset)
end
function fit!(am::UnivariateARCHModel; algorithm=BFGS(), autodiff=:forward, kwargs...)
am.spec.coefs.=startingvals(typeof(am.spec), am.data)
am.dist.coefs.=startingvals(typeof(am.dist), am.data)
am.meanspec.coefs.=startingvals(am.meanspec, am.data)
_fit!(am.spec.coefs, am.dist.coefs, am.meanspec.coefs, typeof(am.spec),
typeof(am.dist), am.meanspec, am.data; algorithm=algorithm,
autodiff=autodiff, kwargs...
)
am.fitted=true
am
end
function fit(am::UnivariateARCHModel; algorithm=BFGS(), autodiff=:forward, kwargs...)
am2=deepcopy(am)
fit!(am2; algorithm=algorithm, autodiff=autodiff, kwargs...)
return am2
end
function fit(vs::Type{VS}, lm::TableRegressionModel{<:LinearModel}; kwargs...) where VS<:UnivariateVolatilitySpec
fit(vs, response(lm.model); meanspec=Regression(modelmatrix(lm.model); coefnames=coefnames(lm)), kwargs...)
end
function fit(vs::Type{VS}, lm::LinearModel; kwargs...) where VS<:UnivariateVolatilitySpec
fit(vs, response(lm); meanspec=Regression(modelmatrix(lm)), kwargs...)
end
"""
selectmodel(::Type{VS}, data; kwargs...) -> UnivariateARCHModel
Fit the volatility specification `VS` with varying lag lengths and return that which
minimizes the [BIC](https://en.wikipedia.org/wiki/Bayesian_information_criterion).
# Keyword arguments:
- `dist=StdNormal`: the error distribution.
- `meanspec=Intercept`: the mean specification, either as a type or instance of that type.
- `minlags=1`: minimum lag length to try in each parameter of `VS`.
- `maxlags=3`: maximum lag length to try in each parameter of `VS`.
- `criterion=bic`: function that takes a `UnivariateARCHModel` and returns the criterion to minimize.
- `show_trace=false`: print `criterion` to screen for each estimated model.
- `algorithm=BFGS(), autodiff=:forward, kwargs...`: passed on to the optimizer.
# Example
```
julia> selectmodel(EGARCH, BG96)
EGARCH{1, 1, 2} model with Gaussian errors, T=1974.
Mean equation parameters:
───────────────────────────────────────────────
Estimate Std.Error z value Pr(>|z|)
───────────────────────────────────────────────
μ -0.00900018 0.00943948 -0.953461 0.3404
───────────────────────────────────────────────
Volatility parameters:
──────────────────────────────────────────────
Estimate Std.Error z value Pr(>|z|)
──────────────────────────────────────────────
ω -0.0544398 0.0592073 -0.919478 0.3578
γ₁ -0.0243368 0.0270414 -0.899985 0.3681
β₁ 0.960301 0.0388183 24.7384 <1e-99
α₁ 0.405788 0.067466 6.0147 <1e-08
α₂ -0.207357 0.114161 -1.81636 0.0693
──────────────────────────────────────────────
```
"""
function selectmodel(::Type{VS}, data::Vector{T};
dist::Type{SD}=StdNormal{T}, meanspec::Union{MS, Type{MS}}=Intercept{T},
maxlags::Integer=3, minlags::Integer=1, criterion=bic, show_trace=false, algorithm=BFGS(),
autodiff=:forward, kwargs...
) where {VS<:UnivariateVolatilitySpec, T<:AbstractFloat,
SD<:StandardizedDistribution, MS<:MeanSpec
}
@assert maxlags >= minlags >= 0
#threading sometimes segfaults in tests locally. possibly https://github.com/JuliaLang/julia/issues/29934
mylock=Threads.ReentrantLock()
ndims = max(my_unwrap_unionall(VS)-1, 0) # e.g., two (p and q) for GARCH{p, q, T}
ndims2 = max(my_unwrap_unionall(MS)-1, 0 )# e.g., two (p and q) for ARMA{p, q, T}
res = Array{UnivariateSubsetARCHModel, ndims+ndims2}(undef, ntuple(i->maxlags - minlags + 1, ndims+ndims2))
Threads.@threads for ind in collect(CartesianIndices(size(res)))
tup = (ind.I[1:ndims] .+ minlags .-1)
MSi = (ndims2==0 ? deepcopy(meanspec) : meanspec{ind.I[ndims+1:end] .+ minlags .- 1...})
res[ind] = fitsubset(VS, data, maxlags, tup; dist=dist, meanspec=MSi,
algorithm=algorithm, autodiff=autodiff, kwargs...)
if show_trace
lock(mylock)
VSi = VS{tup...}
Core.print(modname(VSi))
ndims2>0 && Core.print("-", modname(MSi))
Core.println(" model has ",
uppercase(split("$criterion", ".")[end]), " ",
criterion(res[ind]), "."
)
unlock(mylock)
end
end
crits = criterion.(res)
_, ind = findmin(crits)
return fit(VS{res[ind].subset...}, data; dist=dist, meanspec=res[ind].meanspec, algorithm=algorithm, autodiff=autodiff, kwargs...)
end
function coeftable(am::UnivariateARCHModel)
cc = coef(am)
se = stderror(am)
zz = cc ./ se
CoefTable(hcat(cc, se, zz, 2.0 * normccdf.(abs.(zz))),
["Estimate", "Std.Error", "z value", "Pr(>|z|)"],
coefnames(am), 4)
end
function show(io::IO, am::UnivariateARCHModel)
if isfitted(am)
cc = coef(am)
se = stderror(am)
ccg, ccd, ccm = splitcoefs(cc, typeof(am.spec),
typeof(am.dist), am.meanspec
)
seg, sed, sem = splitcoefs(se, typeof(am.spec),
typeof(am.dist), am.meanspec
)
zzg = ccg ./ seg
zzd = ccd ./ sed
zzm = ccm ./ sem
println(io, "\n", modname(typeof(am.spec)), " model with ",
distname(typeof(am.dist)), " errors, T=", nobs(am), ".\n")
length(sem) > 0 && println(io, "Mean equation parameters:", "\n",
CoefTable(hcat(ccm, sem, zzm, 2.0 * normccdf.(abs.(zzm))),
["Estimate", "Std.Error", "z value", "Pr(>|z|)"],
coefnames(am.meanspec), 4
)
)
println(io, "\nVolatility parameters:", "\n",
CoefTable(hcat(ccg, seg, zzg, 2.0 * normccdf.(abs.(zzg))),
["Estimate", "Std.Error", "z value", "Pr(>|z|)"],
coefnames(typeof(am.spec)), 4
)
)
length(sed) > 0 && println(io, "\nDistribution parameters:", "\n",
CoefTable(hcat(ccd, sed, zzd, 2.0 * normccdf.(abs.(zzd))),
["Estimate", "Std.Error", "z value", "Pr(>|z|)"],
coefnames(typeof(am.dist)), 4
)
)
else
println(io, "\n", modname(typeof(am.spec)), " model with ",
distname(typeof(am.dist)), " errors, T=", nobs(am), ".\n\n")
length(am.meanspec.coefs) > 0 && println(io, CoefTable(am.meanspec.coefs, coefnames(am.meanspec), ["Mean equation parameters:"]))
println(io, CoefTable(am.spec.coefs, coefnames(typeof(am.spec)), ["Volatility parameters: "]))
length(am.dist.coefs) > 0 && println(io, CoefTable(am.dist.coefs, coefnames(typeof(am.dist)), ["Distribution parameters: "]))
end
end
function modname(::Type{S}) where S<:Union{UnivariateVolatilitySpec, MeanSpec}
s = "$(S)"
lastcomma = findlast(isequal(','), s)
lastcomma == nothing || (s = s[1:lastcomma-1] * '}')
firstdot = findfirst(isequal('.'), s)
firstdot == nothing || (s = s[firstdot+1:end])
s
end