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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: SPECIFICATION:
# 'garchSpec' S4: garchSpec Class representation
# garchSpec S4: Creates a 'garchSpec' object from scratch
# show.garchSpec S4: Print method for an object of class 'garchSpec'
################################################################################
test.garchSpec =
function()
{
# ARCH(1) - use default omega and default alpha[1]
garchSpec(model = list())
# ARCH(1) - use default omega and specify alpha
garchSpec(model = list(alpha = 0.2))
# ARCH(1) - specify omega and alpha
garchSpec(model = list(omega = 3.0e-6, alpha = 0.3))
# AR(1)-ARCH(1) - use default omega/alpha and specify alpha[1]
garchSpec(model = list(ar = 0.5))
# AR([1,5])-ARCH(1) - use default omega, specify alpha and subset ar[.]
garchSpec(model = list(ar = c(0.5,0,0,0,0.1), alpha = 0.25))
# ARMA(1,2)-ARCH(1) - use default omega/alpha and specify ar[1]/ma[2]
garchSpec(model = list(ar = 0.5, ma = c(0.3, -0.3)))
# ARMA(2,2)-ARCH(1) use default omega/alpha and specify ar[2]/ma[2]
garchSpec(model = list(ar = c(0.5, -0.5), ma = c(0.3,-0.3)))
# ARCH(2) - use default omega and specify alpha[2]
garchSpec(model = list(alpha = c(0.12, 0.04)))
# GARCH(1,1) - use just defaults
garchSpec()
# GARCH(1,1) - use default omega and specify alpha/beta
garchSpec(model = list(alpha = 0.2, beta = 0.7))
# GARCH(1,1) - specify omega/alpha/beta
garchSpec(model = list(omega = 1e-6, alpha = 0.1, beta = 0.8))
# GARCH(1,2) - use default omega and specify alpha[1]/beta[2]
garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
# GARCH(2,1) - use default omega and specify alpha[2]/beta[1]
garchSpec(model = list(alpha = c(0.12, 0.04), beta = 0.08))
# rsnorm-ARCH(1) - use defaults with skew Normal
garchSpec(model = list(dist = 2), cond.dist = "snorm")
# rged-ARCH(1) using default omega and alpha[1]
garchSpec(model = list(dist = 4), cond.dist = "ged")
# rsged-ARCH(1) using default omega and alpha[1]
garchSpec(model = list(dist = c(4, 2)), cond.dist = "sged")
# rstd-ARCH(1) using default omega and alpha[1]
garchSpec(model = list(dist = 4), cond.dist = "std")
# rsstd-ARCH(1) using default omega and alpha[1]
garchSpec(model = list(dist = c(4, 2)), cond.dist = "sstd")
# TS-GARCH(1,1)
garchSpec(model = list(delta = 1))
# AR(1)-t-APARCH(2, 1)
garchSpec(model = list(mu = 1.0e-4, ar = 0.5, omega = 1.0e-6,
alpha = c(0.10, 0.05), gamma = c(0, 0), beta = 0.8, delta = 1.8,
dist = c(nu = 4, xi = 0.5)), cond.dist = "sstd")
# Return Value:
return()
}
################################################################################
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