+(33031) پروژه rstudio
چهار سال پیش منتشر شده
تعداد بازدید: 158
کد پروژه: 306027
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سلام وقتتون بخیر
من یه پروژه دانشگاهی دارم که مربوط به درس سری زمانی هستش، میخواستم ببینم شما میتونید انجام بدین؟
On the daily time series provided, estimate GARCH models with different distributions errors (Normal, T-Student, Skew Normal, Skew t, GED) use the R rugarch routine. Let's add the weekly historical series of observed Covid deaths. Estimate GARCH models with an observed variable at weekly frequency GARCH MIDAS (mixed data analysis) with the R rumidas routine. Calculate the VaR (value at risk) for each model estimated with and without MIDAS . Make the choice of the model based on the backtesting procedure. Students should also use the MCS procedure in order to select the final models. The models to be considered in the MCS procedure should be all the ones who pass two out of three backtesting tests.
Before doing any model building procedure you have to check if the time series considered are stationary. To do that you have to use the DF test that you find in R. DICKEY FULLER TEST
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