//this method hides buttons, plots etc.
private void hide()
{
ARCHdgv.Hide();
ARCHmodels.Hide();
ARCHmodelsdgv.Hide();
ARCHwhitenoise.Hide();
ARCHarimadgv.Hide();
ARCHarchdgv.Hide();
ARCHsavebt.Hide();
ARCHarimalbl.Hide();
label1.Hide();
label2.Hide();
label3.Hide();
}
//On clicking the Fit ARCH and GARCH button this method is called
//it will automatically fit a number of ARCH and GARCH models to the data
private void ARCHmodels_Click(object sender, EventArgs e)
{
System.Windows.Forms.Cursor old = this.Cursor;
this.Cursor = Cursors.AppStarting;
archModellist.Clear();
int mposition = 0;
mposition = ARCHdgv.SelectedRows[0].Index;
int nar = 0;
int nma = 0;
int nd = 0;
bool subtmean = false;
List <double> arimaestimates = new List <double>();
nar = Modellist[mposition].P;
nma = Modellist[mposition].Q;
nd = Modellist[mposition].D;
subtmean = Modellist[mposition].Subtractmean;
List <double> data = new List <double>();
//setting up the data.......could be done in a smarter way
if (nd > 0)
{
P.DifferencedData.Clear();
this.P.Diff = nd;
P.difference();
foreach (double dd in P.DifferencedData)
{
data.Add(dd);
}
}
else
{
if (subtmean == true)
{
double aver = P.avg(P.D);
List <double> tempdata = new List <double>();
foreach (double dd in P.D)
{
tempdata.Add(dd - P.avg(P.D));
}
P.D.Clear();
foreach (double dd in tempdata)
{
P.D.Add(dd);
}
}
foreach (double dd in P.D)
{
data.Add(dd);
}
}
//fit the ARCH models
for (int i = 1; i < 6; i++)
{
List <double> archestandaic = P.archML(data, Modellist[mposition].Parameters, nar, nma, i);
List <double> archparamest = new List <double>();
for (int l = 0; l < i + 1; l++)
{
archparamest.Add(archestandaic[l]);
}
List <double> resid = P.archresiduals(data, Modellist[mposition].Parameters, nar, nma, i, archparamest);
List <double> acfresid = P.sampleautocorrelation(resid, 100);
if ((Math.Abs(archestandaic[i + 1]) > 1000000) || (double.IsNaN(archestandaic[i + 1])))
{
continue;
}
else
{
archModellist.Add(new model("ML", nar, nma, nd, Modellist[mposition].Aic, Modellist[mposition].Bic, Modellist[mposition].Parameters, new List <double> {
0.0
}, Modellist[mposition].Variance, new List <double> {
0.0
}, Modellist[mposition].Sumsquaredresiduals, Modellist[mposition].Transformtype, Modellist[mposition].Transformshape, Modellist[mposition].Transformscale, i, 0, archparamest, archestandaic[i + 1], resid, acfresid, Modellist[mposition].Subtractmean));
}
}
//fit the GARCH models
for (int i = 1; i < 3; i++)
{
for (int j = 1; j < 3; j++)
{
List <double> garchestandaic = P.garchML(data, Modellist[mposition].Parameters, nar, nma, i, j);
List <double> garchparamest = new List <double>();
for (int l = 0; l < i + j + 1; l++)
{
garchparamest.Add(garchestandaic[l]);
}
List <double> resid = P.garchresiduals(data, Modellist[mposition].Parameters, nar, nma, i, j, garchparamest);
List <double> acfresid = P.sampleautocorrelation(resid, 100);
if ((Math.Abs(garchestandaic[i + j + 1]) > 1000000) || (double.IsNaN(garchestandaic[i + j + 1])))
{
continue;
}
else
{
archModellist.Add(new model("ML", nar, nma, nd, Modellist[mposition].Aic, Modellist[mposition].Bic, Modellist[mposition].Parameters, new List <double> {
0.0
}, Modellist[mposition].Variance, new List <double> {
0.0
}, Modellist[mposition].Sumsquaredresiduals, Modellist[mposition].Transformtype, Modellist[mposition].Transformshape, Modellist[mposition].Transformscale, i, j, garchparamest, garchestandaic[i + j + 1], resid, acfresid, Modellist[mposition].Subtractmean));
}
}
}
ARCHmodelsdgv.Show();
label3.Show();
//populating the datagridview
int x = ARCHmodelsdgv.ColumnCount;
bs3.DataSource = archModellist;
ARCHmodelsdgv.DataSource = bs3;
ARCHmodelsdgv.AllowUserToAddRows = false;
ARCHmodelsdgv.AutoGenerateColumns = false;
if (x == 0)
{
DataGridViewColumn col1 = new DataGridViewTextBoxColumn();
col1.DataPropertyName = "archQ";
col1.HeaderText = "GARCH (Q)";
col1.Name = "Blah";
col1.Width = 90;
ARCHmodelsdgv.Columns.Add(col1);
DataGridViewColumn col2 = new DataGridViewTextBoxColumn();
col2.DataPropertyName = "archP";
col2.HeaderText = "GARCH (P)";
col2.Name = "Blah";
col2.Width = 90;
ARCHmodelsdgv.Columns.Add(col2);
DataGridViewColumn col3 = new DataGridViewTextBoxColumn();
col3.DataPropertyName = "archAic";
col3.HeaderText = "Arch AIC";
col3.Name = "Blah";
col3.Width = 90;
col3.DefaultCellStyle.Format = "n2";
ARCHmodelsdgv.Columns.Add(col3);
ARCHmodelsdgv.Columns["P"].Visible = false;
ARCHmodelsdgv.Columns["Q"].Visible = false;
ARCHmodelsdgv.Columns["Aic"].Visible = false;
ARCHmodelsdgv.Columns["Bic"].Visible = false;
ARCHmodelsdgv.Columns["Type"].Visible = false;
ARCHmodelsdgv.Columns["Variance"].Visible = false;
ARCHmodelsdgv.Columns["D"].Visible = false;
ARCHmodelsdgv.Columns["Sumsquaredresiduals"].Visible = false;
ARCHmodelsdgv.Columns["Transformtype"].Visible = false;
ARCHmodelsdgv.Columns["Transformshape"].Visible = false;
ARCHmodelsdgv.Columns["Transformscale"].Visible = false;
ARCHmodelsdgv.Columns["archP"].Visible = false;
ARCHmodelsdgv.Columns["archQ"].Visible = false;
ARCHmodelsdgv.Columns["archAic"].Visible = false;
ARCHmodelsdgv.Columns["Subtractmean"].Visible = false;
}
this.Cursor = old;
}
