> setwd("C:/Users/Priyanshu/Dropbox/Term 4/FauR/data-20180714T053949Z-001/data")

> nifty=read.csv("futures.csv")
> ret=diff(log(nifty$AdjClose))
> library(rugarch)
Loading required package: parallel

Attaching package: �rugarch�

The following object is masked from �package:stats�:

sigma

Warning message:
package �rugarch� was built under R version 3.5.1
> meqn2=arima(ret,order=c(0,0,1))
> res=residuals(meqn2)
> stdres=(res-mean(res))/sd(res)
> acf(stdres)
> stdresq=stdres*stdres
> acf(stdresq)
> fit1=ugarchfit(spec=ugarchspec(variance.model =
list(model="sGARCH",garchOrder=c(1,1),mean.model=list(armaOrder=c(0,1))),data=ret)
+

> fit1=ugarchfit(spec=ugarchspec(variance.model =
list(model="sGARCH",garchOrder=c(1,1)),mean.model=list(armaOrder=c(0,1))),data=ret)
> fit1

*---------------------------------*
* GARCH Model Fit *
*---------------------------------*

Conditional Variance Dynamics

-----------------------------------
GARCH Model : sGARCH(1,1)
Mean Model : ARFIMA(0,0,1)
Distribution : norm

Optimal Parameters
------------------------------------
Estimate Std. Error t value Pr(>|t|)
mu 0.001211 0.000839 1.4438 0.148808
ma1 0.115338 0.051092 2.2575 0.023980
omega 0.000029 0.000012 2.5078 0.012148
alpha1 0.114745 0.033972 3.3777 0.000731
beta1 0.800184 0.053483 14.9614 0.000000

Robust Standard Errors:

Estimate Std. Error t value Pr(>|t|)
mu 0.001211 0.000777 1.5577 0.119314
ma1 0.115338 0.054391 2.1205 0.033961
omega 0.000029 0.000014 2.1656 0.030345
alpha1 0.114745 0.040051 2.8649 0.004171
beta1 0.800184 0.066233 12.0813 0.000000

LogLikelihood : 1321.266

Information Criteria
------------------------------------
Akaike -5.2129
Bayes -5.1711
Shibata -5.2131
Hannan-Quinn -5.1965

Weighted Ljung-Box Test on Standardized Residuals

------------------------------------
statistic p-value
Lag[1] 0.2902 0.5901
Lag[2*(p+q)+(p+q)-1][2] 0.6260 0.9267
Lag[4*(p+q)+(p+q)-1][5] 1.1798 0.9164
d.o.f=1
H0 : No serial correlation

Weighted Ljung-Box Test on Standardized Squared Residuals

------------------------------------
statistic p-value
Lag[1] 0.1365 0.7118
Lag[2*(p+q)+(p+q)-1][5] 1.4976 0.7405
Lag[4*(p+q)+(p+q)-1][9] 4.1997 0.5554
d.o.f=2

Weighted ARCH LM Tests

------------------------------------
Statistic Shape Scale P-Value
ARCH Lag[3] 1.319 0.500 2.000 0.2508
ARCH Lag[5] 2.402 1.440 1.667 0.3890
ARCH Lag[7] 4.853 2.315 1.543 0.2398

Nyblom stability test

------------------------------------
Joint Statistic: 1.0023
Individual Statistics:
mu 0.14330
ma1 0.23662
omega 0.17342
alpha1 0.08573
beta1 0.17653

Asymptotic Critical Values (10% 5% 1%)

Joint Statistic: 1.28 1.47 1.88
Individual Statistic: 0.35 0.47 0.75

Sign Bias Test

------------------------------------
t-value prob sig
Sign Bias 0.08233 0.9344
Negative Sign Bias 0.97152 0.3318
Positive Sign Bias 1.40334 0.1611
Joint Effect 6.01714 0.1108

Adjusted Pearson Goodness-of-Fit Test:

------------------------------------
group statistic p-value(g-1)
1 20 15.91 0.6632
2 30 28.88 0.4713
3 40 29.73 0.8575
4 50 40.05 0.8153

Elapsed time : 0.2769878

> garres=residuals(fit1,standardize="TRUE")
> acf(garres)
> tvvol=sigma(fit1)
> plot(tvvol)
> plot(tvvol,type='l')
> par(mfrow=c(2,1))
> plot(tvvol,type='l')
> plot(ret,type='l')
> retbef=ret[1:259]
> retaft=ret[262:505]
> tail(retaft)
[1] -0.005897970 0.015455736 0.004390282 -0.017593046 -0.008228745 -0.017142413
> retaft=ret[260:505]
> tail(retaft)
[1] -0.005897970 0.015455736 0.004390282 -0.017593046 -0.008228745 -0.017142413
> fitbef=ugarchfit(spec=ugarchspec(variance.model =
list(model="sGARCH",garchOrder=c(1,1)),mean.model =
list(armaOrder=c(0,1))),data=retbef)
> fitaft=ugarchfit(spec=ugarchspec(variance.model =
list(model="sGARCH",garchOrder=c(1,1)),mean.model =
list(armaOrder=c(0,1))),data=retaft)