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Diffstat (limited to 'R/beta_trade.R')
| -rw-r--r-- | R/beta_trade.R | 7 |
1 files changed, 7 insertions, 0 deletions
diff --git a/R/beta_trade.R b/R/beta_trade.R new file mode 100644 index 00000000..c724fbbc --- /dev/null +++ b/R/beta_trade.R @@ -0,0 +1,7 @@ +library(ugarch) +df <- feather::read_feather("/home/share/CorpCDOs/data/index_returns.fth") +df$date <- as.Date(df$date) + + +spec <- ugarchspec(mean.model = list(armaOrder=c(0,0), include.mean = TRUE)) +fit <- ugarchfit(spec, na.omit(df$ig), solver='hybrid') |