tests/testthat/test_score_dbekk_asymm.R

In BEKKs: Multivariate Conditional Volatility Modelling and Forecasting

test_that("score_asymm_dbekk works with 2-dimensional test data set", {
  init <- c(0.062, -0.02689, 0.210177, 0.2236, 0.2236, 0.05, 0.2753, 0.94868, 0.9487)
  signs = as.matrix(c(-1, 1))
  theta <- matrix(init, nrow = 9)

  score <- score_asymm_dbekk(theta, data.matrix(StocksBonds),signs)
  score <- sum(score)
  expect_equal(trunc(score), -32627)
})

test_that("score_asymm_dbekk works with 3-dimensional test data set", {
  signs = as.matrix(c(-1, -1, 1))

  init=c(0.0015876334,  0.0002258635,  0.0006750149,  0.0014719950, -0.0005589923,  0.0012654071,  0.2610727800,  0.2989689227,
        0.2682630137,
         0.12003, 0.09234,  0.063466,
         0.9561381437,  0.9440457439, 0.9599385388)
  theta <- matrix(init, nrow = 15)
  score <- score_asymm_dbekk(theta, GoldStocksBonds, signs)
  score <- sum(score)
  expect_equal(trunc(score), -1089682)
})