GarchModel | R Documentation |
Specify a GARCH model.
GarchModel(model = list(), ..., model.class = NULL)
model |
a GARCH model or a list. |
... |
named arguments specifying the GARCH model. |
model.class |
a class for the result. By default |
Argument model
can be the result of a previous call to GarchModel
.
Arguments in "..."
overwrite current components of model
.
GarchModel
guarantees that code using it will continue to work
transparently for the user even if the internal represedtation of GARCH
models in this package is changed or additional functionality is added.
an object from suitable GARCH-type class
## GARCH(1,1) with Gaussian innovations mo1a <- GarchModel(omega = 1, alpha = 0.3, beta = 0.5) mo1b <- GarchModel(omega = 1, alpha = 0.3, beta = 0.5, cond.dist = "norm") ## equivalently, the parameters can be given as a list p1 <- list(omega = 1, alpha = 0.3, beta = 0.5) mo1a_alt <- GarchModel(p1) mo1b_alt <- GarchModel(p1, cond.dist = "norm") stopifnot(identical(mo1a, mo1a_alt), identical(mo1b, mo1b_alt)) ## additional arguments modify values already in 'model' mo_alt <- GarchModel(p1, beta = 0.4) ## set also initial values mo2 <- GarchModel(omega = 1, alpha = 0.3, beta = 0.5, esp0 = - 1.5, h0 = 4.96) ## GARCH(1,1) with standardised-t_5 mot <- GarchModel(omega = 1, alpha = 0.3, beta = 0.5, cond.dist = list("std", nu = 5))
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