elliptical-empirical
Empirical example about estimation of multivariate elliptical extreme quantile regions
Science Score: 18.0%
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Repository
Empirical example about estimation of multivariate elliptical extreme quantile regions
Basic Info
Statistics
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Metadata Files
README.md
elliptical-empirical
Empirical example about estimation of multivariate elliptical extreme quantile regions in a financial context. Data consists of three time series of market price indices from 2.7.2001 to 29.6.2007:
- Standard and Poors S&P 500,
- Financial Times Stock Exchange FTSE 100 and
- Nikkei 225.
We compute returns $Yt = \log(X{t+1} / X_t)$ and fit $\mathrm{EGARCH}(1, 1)$ model to time series of returns for each index. Then we use innovations for computing extreme quantile regions for several probabilities $p\in(1/2000, 1/5000, 1/10000)$.
Requirements
Clone or unzip the repository.
git clone https://github.com/perej1/elliptical-empirical.gitInstall required packages by running the following R command in the project's root folder (R package
renvhas to be installed).renv::restore()
Running the code
Emprical example involves three steps:
modify.R- Fitting of $\mathrm{EGARCH}(1, 1)$ models and computation of innovations.test-assumptions.R- Test assumptions of independence, ellipticity and regular variation.analyze.R- Estimation of extreme quantile regions.
Lastly, the script main.R is responsible for argument parsing. In order to perform all the three parts of the empirical example, just run the following.
Rscript main.R
If you wish to skip some parts of the empirical example, you can run something like below.
Rscript main.R --modify TRUE --test FALSE --analyze TRUE
That is, above snippet of code skips statistical tests.
Owner
- Login: perej1
- Kind: user
- Repositories: 1
- Profile: https://github.com/perej1
Citation (CITATION.bib)
@misc{pere2024empirical,
author = {Pere, Jaakko},
title = {elliptical-empirical},
year = {2024},
publisher = {Github},
journal = {Github repository},
howpublished = {\url{https://github.com/perej1/elliptical-empirical/releases/tag/v0.2.0}},
commit = {6bfeb8d},
doi = {10.5281/zenodo.10556714}
}