(Last Updated On: June 28, 2012)Let me do a brief but hopeful review for those considering which R package to go with for
GARCH financial forecasting
Yes it is popular but I have been advised not to rely on it too much. That being said, I cannot disagree with more advanced users of this math forecasting method. After going through various modeling demos, I have come to the conclusion in which R packages might be best for your needs as there are many to choose from. Remember that these are my experiences so they might be most appropriate for you. Also, I am kind of new at this so I claim nowhere to be an expert.
garch function from tseries R package
This may be fast but does not always find a solution. If simulations are a must, use this for being really fast. I demoed it and it is usually 1/6 slower than fGarch
garchFit function from fGarch R package
More accurate in finding a potential GARCH solution but six times slower as mentioned above. What is a good combination for this? As I found at this link:
The example code can easily give you best of both worlds.
Carrying on with the weekly tour of GARCH, I came across with even more accurate solutions and better statistical reporting.
EGARCH in rgarch R package
All I could get were pretty little plots with this and the ggplot2 R function. This was also a real (How shall we say nicely) a bitch set up. I could not bother with this R package.
I think this one is my favorite just due to the amount of statistical reporting with important p-value results. Now I am sounding like some math expert. Anyhow, it seems that this was the slowest but it gave me the best results. It also allows rolling windows too which is kind of nice. You cannot find that in fgarch
No GARCH package
If you are a math whiz, develop your own raw GARCH proprietary algorithm. This what the well paid PHDs do in large banks like Goldman Sachs do. For me, to do this is wishful thinking but it is definitely an option for those who can do it.
P.S. For being slow, maybe I could apply paralyzing (with something like RSnow) to the local for loops in these functions?
Hey I just start my new R Matlab User Meetup group!