tests/testthat/test-score_bekk.R

In BEKKs: Multivariate Conditional Volatility Modelling and Forecasting

test_that("score_bekk works with 2-dimensional test data set", {
  init <- c(0.062, -0.02689, 0.210177, 0.2236, -0.03, -0.03,
            0.2236, 0.94868, 0.03, -0.03, 0.9487)

  theta <- matrix(init, nrow = 11)

  score <- score_bekk(theta, data.matrix(StocksBonds))
  score <- sum(score)
  expect_equal(trunc(score), -166954)
})

test_that("score_bekk works with 3-dimensional test data set", {
  theta=c(0.0015876334,  0.0002258635,  0.0006750149,  0.0014719950, -0.0005589923,  0.0012654071,  0.2610727800,  0.0003034200,  0.0224087426,  0.0156283014,  0.2989689227,  0.0275966405,
           0.0131739627,  0.0495781047,  0.2682630137,  0.9561381437,  0.0005135573, -0.0072066784,
           -0.0072261195,  0.9440457439, -0.0043198682, -0.0139102556, -0.0069184635,  0.9599385388)
  score <- score_bekk(as.matrix(theta), GoldStocksBonds)
  score <- sum(score)
  expect_equal(trunc(score), -771528)
})