MultiGASSpec | R Documentation |
Specify the conditional distribution, scaling mechanism and time-varying parameters for multivariate GAS models.
MultiGASSpec(Dist = "mvnorm", ScalingType = "Identity",
GASPar = list(location = FALSE, scale = TRUE,
correlation = FALSE, shape = FALSE),
ScalarParameters = TRUE)
Dist |
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ScalingType |
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GASPar |
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ScalarParameters |
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All the information regarding the supported multivariate conditional distributions can be investigated using the DistInfo function.
An object of the class mGASSpec
Leopoldo Catania
Creal D, Koopman SJ, Lucas A (2011).
"A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations."
Journal of Business & Economic Statistics, 29(4), 552-563.
\Sexpr[results=rd]{tools:::Rd_expr_doi("10.1198/jbes.2011.10070")}.
Creal D, Koopman SJ, Lucas A (2013).
"Generalized Autoregressive Score Models with Applications."
Journal of Applied Econometrics, 28(5), 777-795.
\Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/jae.1279")}.
Harvey AC (2013). Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series. Cambridge University Press.
# Specify a GAS model with multivariate Student-t
# conditional distribution and time-varying locations,
# scales and correlations parameters but constant shape parameter.
library("GAS")
GASSpec = MultiGASSpec(Dist = "mvt", ScalingType = "Identity",
GASPar = list(location = TRUE, scale = TRUE,
correlation = TRUE, shape = FALSE))
GASSpec
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