exemplo-diego.r

library(rugarch)

start_date <- '2018-01-01'
# esses são ativos de fundos imobiliários que eu ja tive
# e queria saber fiz um péssimo investimento
# ou apenas ruim.
ativos <- c(
  "HGRE11.SA",
  "BTLG11.SA",
  "HGRU11.SA",
  "VGIR11.SA",
  "MGFF11.SA"
)


da <- yfR::yf_get(
  ativos,
  first_date = start_date,
  type_return = "log",
  freq_data = "daily",
  do_complete_data = TRUE
)

data_corte <- da |>
  dplyr::group_by(ticker) |>
  dplyr::filter(ref_date == min(ref_date)) |>
  dplyr::ungroup() |>
  with(max(ref_date))

da_train <- da |>
  dplyr::filter(ref_date > data_corte)

ret <- da_train |>
  dplyr::filter(ticker == "BTLG11.SA") |>
  dplyr::pull(ret_closing_prices)

parms <- list(
  m = 1, n = 1,
  p = 0, q = 0,
  dist = "std"
)

garch_model <- ugarchspec(
  variance.model = list(
    model = "fGARCH",
    submodel = "GARCH",
    garchOrder = c(parms$m, parms$n)
  ),
  mean.model = list(
    armaOrder = c(parms$p, parms$q),
    include.mean = TRUE
  ),
  distribution.model = parms$dist
)

fit <- ugarchfit(garch_model, data = ret)

fit