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Type 'q()' to quit R. > data(EuStockMarkets) > > > library(RTDE) Loading required package: parallel > library(tseries) > > FTSE <- diff(log(EuStockMarkets))[,"FTSE"] > CAC <- diff(log(EuStockMarkets))[,"CAC"] > DAX <- diff(log(EuStockMarkets))[,"DAX"] > > ftse.garch <- garch(FTSE) ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** I INITIAL X(I) D(I) 1 5.699289e-05 1.000e+00 2 5.000000e-02 1.000e+00 3 5.000000e-02 1.000e+00 IT NF F RELDF PRELDF RELDX STPPAR D*STEP NPRELDF 0 1 -8.062e+03 1 8 -8.062e+03 9.93e-06 2.59e-05 1.0e-05 2.1e+11 1.0e-06 2.71e+06 2 9 -8.062e+03 6.31e-07 6.44e-07 9.7e-06 2.0e+00 1.0e-06 1.01e+00 3 18 -8.066e+03 4.86e-04 8.36e-04 3.4e-01 2.0e+00 5.3e-02 1.01e+00 4 21 -8.075e+03 1.18e-03 1.03e-03 6.5e-01 1.9e+00 2.1e-01 1.06e-01 5 22 -8.086e+03 1.32e-03 2.50e-03 4.4e-01 2.0e+00 4.2e-01 9.25e+00 6 34 -8.094e+03 1.03e-03 2.27e-03 1.8e-06 3.9e+00 2.4e-06 4.18e-03 7 35 -8.094e+03 2.24e-05 1.75e-05 1.7e-06 2.0e+00 2.4e-06 8.92e-04 8 36 -8.094e+03 1.75e-06 1.87e-06 1.8e-06 2.0e+00 2.4e-06 1.19e-03 9 45 -8.096e+03 2.47e-04 2.66e-04 2.8e-02 6.6e-01 4.0e-02 1.17e-03 10 47 -8.100e+03 4.75e-04 4.70e-04 2.4e-02 9.8e-01 4.0e-02 4.45e-03 11 49 -8.109e+03 1.01e-03 1.08e-03 4.3e-02 1.3e+00 7.9e-02 1.65e-02 12 51 -8.110e+03 1.91e-04 2.75e-04 7.7e-03 1.9e+00 1.6e-02 4.21e-03 13 54 -8.117e+03 7.96e-04 8.30e-04 2.5e-02 7.9e-01 5.4e-02 4.42e-03 14 55 -8.122e+03 6.26e-04 9.32e-04 2.2e-02 1.2e+00 5.4e-02 2.98e-03 15 57 -8.125e+03 4.68e-04 6.80e-04 7.8e-03 1.4e+00 1.6e-02 9.15e-04 16 58 -8.126e+03 3.46e-05 4.37e-05 7.1e-03 6.0e-01 1.6e-02 5.47e-05 17 59 -8.126e+03 1.78e-07 1.93e-05 4.5e-03 0.0e+00 8.7e-03 1.93e-05 18 61 -8.126e+03 6.37e-06 1.69e-05 5.3e-04 1.2e+00 1.0e-03 2.54e-05 19 62 -8.126e+03 5.95e-06 6.97e-06 5.0e-04 1.7e+00 1.0e-03 1.46e-05 20 64 -8.126e+03 1.67e-06 2.10e-06 1.0e-03 3.5e-01 2.1e-03 2.28e-06 21 65 -8.126e+03 6.40e-08 6.16e-08 4.4e-05 0.0e+00 8.7e-05 6.16e-08 22 66 -8.126e+03 1.19e-09 9.71e-10 3.2e-05 0.0e+00 7.4e-05 9.71e-10 23 67 -8.126e+03 8.67e-12 1.14e-12 1.2e-06 0.0e+00 2.7e-06 1.14e-12 24 68 -8.126e+03 7.25e-14 8.87e-17 8.4e-09 0.0e+00 1.7e-08 8.87e-17 25 69 -8.126e+03 5.04e-15 4.18e-19 3.9e-10 0.0e+00 7.6e-10 4.18e-19 26 70 -8.126e+03 -1.34e-15 4.33e-24 1.3e-12 0.0e+00 3.2e-12 4.33e-24 ***** X- AND RELATIVE FUNCTION CONVERGENCE ***** FUNCTION -8.125803e+03 RELDX 1.250e-12 FUNC. EVALS 70 GRAD. EVALS 26 PRELDF 4.331e-24 NPRELDF 4.331e-24 I FINAL X(I) D(I) G(I) 1 8.722135e-07 1.000e+00 1.953e-03 2 4.532093e-02 1.000e+00 1.139e-07 3 9.418655e-01 1.000e+00 1.125e-07 > cac.garch <- garch(CAC) ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** I INITIAL X(I) D(I) 1 1.095122e-04 1.000e+00 2 5.000000e-02 1.000e+00 3 5.000000e-02 1.000e+00 IT NF F RELDF PRELDF RELDX STPPAR D*STEP NPRELDF 0 1 -7.456e+03 1 8 -7.457e+03 1.21e-05 2.18e-05 1.5e-05 7.7e+10 1.5e-06 8.43e+05 2 9 -7.457e+03 1.25e-07 1.20e-07 1.4e-05 2.0e+00 1.5e-06 7.01e-01 3 17 -7.458e+03 2.19e-04 3.26e-04 1.9e-01 2.0e+00 2.4e-02 7.01e-01 4 20 -7.465e+03 8.74e-04 1.18e-03 7.8e-01 1.9e+00 3.8e-01 3.81e-02 5 21 -7.466e+03 1.10e-04 5.25e-04 3.0e-01 5.1e-01 3.8e-01 6.05e-04 6 22 -7.466e+03 9.31e-05 1.99e-03 1.9e-01 0.0e+00 2.6e-01 1.99e-03 7 23 -7.467e+03 1.30e-04 1.10e-04 2.5e-02 0.0e+00 2.9e-02 1.10e-04 8 26 -7.469e+03 2.98e-04 2.27e-04 9.1e-02 0.0e+00 1.2e-01 4.85e-04 9 28 -7.472e+03 3.40e-04 2.83e-04 6.2e-02 2.0e+00 9.2e-02 2.05e-02 10 30 -7.473e+03 7.47e-05 7.50e-05 1.2e-02 2.0e+00 1.8e-02 2.01e+00 11 32 -7.473e+03 1.17e-04 1.36e-04 2.2e-02 2.0e+00 3.7e-02 2.82e-01 12 40 -7.473e+03 4.71e-07 8.59e-07 2.9e-08 9.8e+00 4.9e-08 7.06e-03 13 58 -7.473e+03 -3.65e-16 1.19e-14 1.2e-14 9.5e-01 2.0e-14 -2.10e-03 ***** FALSE CONVERGENCE ***** FUNCTION -7.473423e+03 RELDX 1.199e-14 FUNC. EVALS 58 GRAD. EVALS 13 PRELDF 1.191e-14 NPRELDF -2.097e-03 I FINAL X(I) D(I) G(I) 1 1.178549e-05 1.000e+00 4.398e+03 2 5.915987e-02 1.000e+00 -1.081e+01 3 8.439279e-01 1.000e+00 -1.825e+01 > dax.garch <- garch(DAX) ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** I INITIAL X(I) D(I) 1 9.549651e-05 1.000e+00 2 5.000000e-02 1.000e+00 3 5.000000e-02 1.000e+00 IT NF F RELDF PRELDF RELDX STPPAR D*STEP NPRELDF 0 1 -7.584e+03 1 8 -7.585e+03 1.45e-05 2.60e-05 1.4e-05 1.0e+11 1.4e-06 1.35e+06 2 9 -7.585e+03 1.88e-07 1.97e-07 1.3e-05 2.0e+00 1.4e-06 1.50e+00 3 18 -7.589e+03 6.22e-04 1.10e-03 3.5e-01 2.0e+00 5.5e-02 1.50e+00 4 21 -7.601e+03 1.58e-03 1.81e-03 6.2e-01 1.9e+00 2.2e-01 3.07e-01 5 23 -7.634e+03 4.22e-03 3.55e-03 4.3e-01 9.6e-01 4.4e-01 3.06e-02 6 25 -7.646e+03 1.61e-03 1.85e-03 2.9e-02 2.0e+00 4.4e-02 5.43e-02 7 27 -7.646e+03 3.82e-05 5.23e-04 1.3e-02 2.0e+00 2.0e-02 1.46e-02 8 28 -7.648e+03 1.86e-04 1.46e-04 6.5e-03 2.0e+00 9.9e-03 1.54e-03 9 29 -7.648e+03 3.12e-05 4.83e-05 6.4e-03 2.0e+00 9.9e-03 3.34e-03 10 30 -7.648e+03 1.39e-05 6.31e-05 6.2e-03 1.9e+00 9.9e-03 1.86e-03 11 31 -7.650e+03 2.70e-04 3.24e-04 6.0e-03 1.9e+00 9.9e-03 4.99e-03 12 34 -7.656e+03 8.42e-04 8.57e-04 2.2e-02 1.7e-01 3.9e-02 2.22e-03 13 36 -7.661e+03 6.12e-04 6.40e-04 1.9e-02 4.2e-01 3.9e-02 2.09e-03 14 38 -7.665e+03 4.87e-04 8.63e-04 4.9e-02 4.1e-01 9.6e-02 9.69e-04 15 48 -7.666e+03 1.02e-04 1.86e-04 1.9e-07 4.5e+00 3.5e-07 3.94e-04 16 49 -7.666e+03 1.12e-07 1.01e-07 1.9e-07 2.0e+00 3.5e-07 6.22e-05 17 57 -7.666e+03 1.60e-05 2.70e-05 2.0e-03 9.3e-01 3.7e-03 6.10e-05 18 59 -7.666e+03 5.23e-06 7.01e-06 3.7e-03 3.9e-01 8.0e-03 7.77e-06 19 60 -7.666e+03 4.08e-08 3.74e-08 1.4e-04 0.0e+00 3.1e-04 3.74e-08 20 61 -7.666e+03 2.31e-09 8.57e-10 8.6e-06 0.0e+00 2.0e-05 8.57e-10 21 62 -7.666e+03 5.35e-11 2.25e-13 7.6e-07 0.0e+00 1.6e-06 2.25e-13 22 63 -7.666e+03 1.81e-12 7.06e-16 1.7e-08 0.0e+00 3.4e-08 7.06e-16 23 64 -7.666e+03 6.99e-14 1.69e-17 1.0e-09 0.0e+00 2.4e-09 1.69e-17 24 65 -7.666e+03 -1.15e-14 1.76e-20 1.9e-10 0.0e+00 4.0e-10 1.76e-20 ***** X- AND RELATIVE FUNCTION CONVERGENCE ***** FUNCTION -7.665775e+03 RELDX 1.874e-10 FUNC. EVALS 65 GRAD. EVALS 24 PRELDF 1.760e-20 NPRELDF 1.760e-20 I FINAL X(I) D(I) G(I) 1 4.639289e-06 1.000e+00 -2.337e-02 2 6.832875e-02 1.000e+00 -8.294e-07 3 8.890666e-01 1.000e+00 -2.230e-06 > > X <- diff(as.numeric(dax.garch$residuals)) > X <- X[!is.na(X)] > Y <- diff(as.numeric(cac.garch$residuals)) > Y <- Y[!is.na(Y)] > > stockreturn <- dataRTDE(cbind(X, Y)) > stockZ <- zvalueRTDE(cbind(X,Y), omega=1/2, length(X)-1, output="relexcess") > > plot(stockreturn, which=1) > plot(stockreturn, which=2) > plot(apply(stockreturn$data, 2, function(x) rank(x)/length(x))) > qqparetoplot(stockZ$Z) > > > feta <- RTDE(cbind(X, Y), nbpoint=seq(100, 300, by=100), alpha=c(0, 0.5), omega=1/2:3) > feta2 <- RTDE(cbind(X, Y), nbpoint=seq(100, 300, by=100), alpha=c(0, 0.5), omega=1/2) > summary(feta) RTDE object - empirical data dataRTDE object: summary number of points 1857 X Y Min. -12.145734626 -7.920979190 1st Qu. -0.912859615 -0.896615451 Median -0.011196829 0.006527054 Mean 0.001029837 0.001332128 3rd Qu. 0.895288703 0.904313706 Max. 12.747668383 8.999593910 RTDE object - fit fitRTDE object: summary n [1] 1857 alpha [1] 0.0 0.5 omega [1] 0.5000000 0.3333333 m [1] 100 200 300 rho [1] -1 eta Min. 1st Qu. Median Mean 3rd Qu. Max. 0.5913 0.7933 0.8761 0.9768 1.1496 1.8014 delta Min. 1st Qu. Median Mean 3rd Qu. Max. -0.20388 0.04739 0.20746 0.74847 1.08149 4.63087 > # plot(feta, which=1) > > fprob <- prob(feta, q=5:6*100) > plot(fprob, which=3) > > fprob <- prob(feta, q=500) > > plot(fprob, which=3) > > fprob <- prob(feta2, q=500) > > plot(fprob, which=3) > > > feta <- RTDE(cbind(X, Y), nbpoint=seq(10, 240, by=10), alpha=c(0, 0.25, 0.5), omega=1/2) > fprob <- prob(feta, q=5) > plot(fprob, which=3) > > > proc.time() user system elapsed 10.67 0.26 10.87