Hey, I want to Forecast SPX using SPX, GVZ, VIX, and OVX stocks using mGARCH but my model is not running properly. Please, anyone, help me to understand this.
My code:
data_xts <- xts(data, order.by = data$Dates)
logreturns <- diff(log(data$SPX,data$VIX))
logreturns <- diff(log(data$OVX,data$GVZ))
plot(log(data[,2:5]), col = c("black", "orange", "magenta"),
main = "Log-prices of the Four ETFs", legend.loc = "topleft")
ugarch_spec <- ugarchspec(mean.model = list(armaOrder = c(0,0), include.mean = FALSE),
variance.model = list(model = "sGARCH", garchOrder = c(1,1)))
dcc_spec <- dccspec(uspec = multispec(replicate(ugarch_spec, n = 4)),
VAR = TRUE, lag = 4,
model = "DCC", dccOrder = c(1,1))
# estimate model
garchdcc_fit <- dccfit(dcc_spec, data = logreturns, solver = "nlminb")
Sample data set:
| Dates | SPX | VIX | OVX | GVZ |
|---|---|---|---|---|
| 1/4/2010 | 1132.985478 | 20.04 | 35.44 | 24.59 |
| 1/5/2010 | 1136.523386 | 19.35 | 34.27 | 23.34 |
| 1/6/2010 | 1137.13783 | 19.16 | 34.4 | 23.9 |
| 1/7/2010 | 1141.694928 | 19.06 | 33.61 | 23.32 |
| 1/8/2010 | 1144.983058 | 18.13 | 31.34 | 22.04 |
| 1/11/2010 | 1146.978977 | 17.55 | 30 | 20.97 |
| 1/12/2010 | 1136.221168 | 18.25 | 31.61 | 21.97 |
| 1/13/2010 | 1145.676014 | 17.85 | 32.75 | 20.63 |
| 1/14/2010 | 1148.460648 | 17.63 | 30.86 | 21.34 |
| 1/15/2010 | 1136.028881 | 17.91 | 29.8 | 21.48 |
| 1/19/2010 | 1150.232178 | 17.58 | 28.52 | 21.31 |
| 1/20/2010 | 1138.040246 | 18.68 | 31.15 | 22.85 |
| 1/21/2010 | 1116.478536 | 22.27 | 32.51 | 24.82 |
| 1/22/2010 | 1091.755535 | 27.31 | 34.85 | 26.01 |
| 1/25/2010 | 1096.784901 | 25.41 | 33.33 | 24.73 |
| 1/26/2010 | 1092.165948 | 24.55 | 33.78 | 24.35 |
| 1/27/2010 | 1097.504182 | 23.14 | 34.23 | 24.08 |
| 1/28/2010 | 1084.526415 | 23.73 | 33.28 | 23.35 |
| 1/29/2010 | 1073.869364 | 24.62 | 34.05 | 23.87 |
| 2/1/2010 | 1089.188735 | 22.59 | 32.45 | 23.84 |
| 2/2/2010 | 1103.323052 | 21.48 | 32.44 | 22.75 |
| 2/3/2010 | 1097.281694 | 21.6 | 34.65 | 22.09 |
| 2/4/2010 | 1063.10986 | 26.08 | 38.51 | 27.19 |
| 2/5/2010 | 1066.186826 | 26.11 | 39.99 | 27.59 |
| 2/8/2010 | 1056.744665 | 26.51 | 39.53 | 26.88 |
| 2/9/2010 | 1070.52374 | 26 | 38.74 | 25.45 |
| 2/10/2010 | 1068.134595 | 25.4 | 37.91 | 26.02 |
| 2/11/2010 | 1078.466575 | 23.96 | 36.04 | 25.48 |
| 2/12/2010 | 1075.513262 | 22.73 | 36.04 | 24.29 |
| 2/16/2010 | 1094.87096 | 22.25 | 36.15 | 25.38 |
| 2/17/2010 | 1099.509086 | 21.72 | 35.38 | 24.88 |
| 2/18/2010 | 1106.752095 | 20.63 | 33.36 | 24 |
| 2/19/2010 | 1109.172983 | 20.02 | 34.63 | 24.05 |
| 2/22/2010 | 1108.014922 | 19.94 | 33.68 | 23.53 |
| 2/23/2010 | 1094.60157 | 21.37 | 34.88 | 23.89 |
| 2/24/2010 | 1105.244201 | 20.27 | 33.46 | 22.68 |
| 2/25/2010 | 1102.942516 | 20.1 | 33.56 | 21.85 |
| 2/26/2010 | 1104.493369 | 19.5 | 32.82 | 21.31 |
| 3/1/2010 | 1115.71248 | 19.26 | 34.29 | 21.13 |
| 3/2/2010 | 1118.31055 | 19.06 | 34.88 | 21.76 |
| 3/3/2010 | 1118.789921 | 18.83 | 34.53 | 21.37 |
| 3/4/2010 | 1122.973559 | 18.72 | 33.54 | 20.06 |
| 3/5/2010 | 1138.698076 | 17.42 | 32.67 | 19.29 |
| 3/8/2010 | 1138.504872 | 17.79 | 33.22 | 19.89 |
| 3/9/2010 | 1140.446408 | 17.92 | 33.19 | 19.88 |
| 3/10/2010 | 1145.608971 | 18.57 | 33.28 | 20.93 |
| 3/11/2010 | 1150.243149 | 18.06 | 32.7 | 20.19 |
| 3/12/2010 | 1149.991906 | 17.58 | 32.11 | 20.16 |
| 3/15/2010 | 1150.513867 | 18 | 33.38 | 20.9 |