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prokashdeb01 / VAR-BEKK-GARCH

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fish data set #1

Open dskosj opened 9 months ago

dskosj commented 9 months ago

Where is the fish data set used in the BEKK model?

prokashdeb01 commented 9 months ago

Hi. I'm afraid I can't publish the dataset as we are still working on it for another article. I can tell you the structure of the dataset if it helps. The fish dataset contains monthly time series observations from January 2006 to December 2022 of the retail market prices of five fish species. The price series are converted to log returns = log (Pt/Pt-1) to make it stationary and then created 203 by 5 matrix form. Thanks.

dskosj commented 9 months ago

Hello, thank you very much for taking time out of your busy schedule to reply to my email. I want to ask you about the fish data set because you have been learning the VAR BEKK GARCH model recently, so I can find your corresponding implementation of this model. However, I have read this model carefully, and there is something I don't understand. I see that the code you wrote does not involve GARCH, only VAR BEKK. If it is convenient, I hope to get your reply.Thanks

------------------ 原始邮件 ------------------ 发件人: "prokashdeb01/VAR-BEKK-GARCH" @.>; 发送时间: 2023年12月10日(星期天) 上午8:23 @.>; @.**@.>; 主题: Re: [prokashdeb01/VAR-BEKK-GARCH] fish data set (Issue #1)

Hi. I'm afraid I can't publish the dataset as we are still working on it for another article. I can tell you the structure of the dataset if it helps. The fish dataset contains monthly time series observations from January 2006 to December 2022 of the retail market prices of five fish species. The price series are converted to log returns = log (Pt/Pt-1) to make it stationary and then created 203 by 5 matrix form. Thanks.

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prokashdeb01 commented 9 months ago

Hi. I was using BEKKs package. I first define the bekk_spec and then fit the model using bekk_fit. You can find more information regarding the package here: https://cran.r-project.org/web/packages/BEKKs/BEKKs.pdf

Thanks.

dskosj commented 9 months ago

Hi.It is a great honor to receive your reply and thank you for your information. However, I still have doubts. The GARCH model is not used in the code you publish on GitHub. So why do you label VAR BEKK GARCH in your topic instead of just VAR BEKK? I'm sorry if my questions have bothered you. Looking forward to hearing from you again.thank you very much!

------------------ 原始邮件 ------------------ 发件人: "prokashdeb01/VAR-BEKK-GARCH" @.>; 发送时间: 2023年12月10日(星期天) 上午9:29 @.>; @.**@.>; 主题: Re: [prokashdeb01/VAR-BEKK-GARCH] fish data set (Issue #1)

Hi. I was using BEKKs package. I first define the bekk_spec and then fit the model using bekk_fit. You can find more information regarding the package here: https://cran.r-project.org/web/packages/BEKKs/BEKKs.pdf

Thanks.

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prokashdeb01 commented 7 months ago

Sorry, for the late response. This is the base model I used and there is room for customization. The BEKKs function uses the GARCH model. It's not similar to rugarch and rmgarch packages. The authors published the user manual "BEKKs: An R Package for Estimation of Conditional Volatility of Multivariate Time Series". The theoretical part of this article may provide a better understanding. Please read the second paragraph of page 3 especially. Thanks.