Multivariate GAS specification

Description

Specify the conditional distribution, scaling mechanism and time-varying parameters for multivariate GAS models.

Usage

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MultiGASSpec(Dist = "mvnorm", ScalingType = "Identity",
             GASPar = list(location = FALSE, scale = TRUE,
                           correlation = FALSE, shape = FALSE),
             ScalarParameters = TRUE)

Arguments

Dist

character indicating the label of the conditional distribution. Available distribution can be displayed using the function DistInfo. Default value Dist = "mvnorm"

.

ScalingType

character indicating the scaling mechanism for the conditional score. Only ScalingType = "Identity" is supported for multivariate distributions.

GASPar

list containing information about which parameters of the conditional distribution have to be time-varying. location = TRUE refers to the location parameters, scale = TRUE refers to the scale parameters, shape = TRUE refers to the shape parameter (e.g., the degree of freedom of the multivariate Student-t distribution), correlation = TRUE refers to the correlations. If the distribution specified in the Dist argument does not have, say, a shape parameter, the condition shape = TRUE is ignored.

ScalarParameters

logical indicating if the parameters of the locations, scales and correlations dynamic have to be scalars or a diagonal matrices. By default ScalarParameters = TRUE.

Details

All the information regarding the supported multivariate conditional distributions can be investigated using the DistInfo function.

Value

An object of the class mGASSpec

Author(s)

Leopoldo Catania

References

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,stage=build]{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,stage=build]{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.

Examples

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# 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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