Automatic ARMA/GARCH selection in parallel

In the original ARMA/GARCH post I outlined the implementation of the garchSearch function. There have been a few requests for the code so … here it is. Quite easy to use too:

library(quantmod)
source("garchAuto.R")

spy = getSymbols("SPY", auto.assign=FALSE)
rets = ROC(Cl(spy), na.pad=FALSE)
fit = garchAuto(rets, cores=8, trace=TRUE)

After the last code line above, fit contains the best (according to the AIC statistic) model, which is the return value of garchFit. The function has reasonable defaults, but also provides controls over various aspects of the model selection – check the code.

The function is called garchAuto, following the naming convention of the fGarch package. In fact, I am trying to get it into the fGarch package, but haven’t heard back yet. There are reasons why I don’t feel too optimistic about this happening, hence, my decision to publish it here.

Last, if you wonder why I abandoned the original garchSearch name, the reason is that a similar function from the forecast package is called auto.arima (“auto”, not “search”).