rugarch の ugarchboot 関数を見ていますが、シリーズ (概要) をデータフレームに入れるのに問題があります。
library(rugarch)
data(dji30ret)
spec = ugarchspec(variance.model=list(model="gjrGARCH", garchOrder=c(1,1)),
mean.model=list(armaOrder=c(1,1), arfima=FALSE, include.mean=TRUE,
archm = FALSE, archpow = 1), distribution.model="std")
ctrl = list(tol = 1e-7, delta = 1e-9)
fit = ugarchfit(data=dji30ret[, "BA", drop = FALSE], out.sample = 0,
spec = spec, solver = "solnp", solver.control = ctrl,
fit.control = list(scale = 1))
bootpred = ugarchboot(fit, method = "Partial", n.ahead = 120, n.bootpred = 2000)
bootpred
as.data.frame(bootpred, which = "sigma", type = "q", qtile = c(0.01, 0.05))
##I am tring to get this into a dataframe:
Series (summary):
min q.25 mean q.75 max forecast
t+1 -0.24531 -0.016272 0.000143 0.018591 0.16263 0.000743
t+2 -0.24608 -0.018006 -0.000290 0.017816 0.16160 0.000232
t+3 -0.24333 -0.017131 0.001007 0.017884 0.31861 0.000413
t+4 -0.26126 -0.018643 -0.000618 0.017320 0.34078 0.000349
t+5 -0.19406 -0.018545 -0.000453 0.016690 0.33356 0.000372
t+6 -0.23864 -0.017268 -0.000113 0.016001 0.18233 0.000364
t+7 -0.27024 -0.018031 -0.000514 0.017852 0.18436 0.000367
t+8 -0.13926 -0.016676 0.000539 0.017904 0.16271 0.000366
t+9 -0.32941 -0.017221 -0.000194 0.016718 0.13894 0.000366
t+10 -0.19013 -0.015845 0.001095 0.017064 0.14498 0.000366
ご協力ありがとうございました。