default_garch_spec: Default specifications for ARMA-GARCH models

In portvine: Vine Based (Un)Conditional Portfolio Risk Measure Estimation

Default specifications for ARMA-GARCH models

Description

This function is used as the default for the univariate model fitting i.e. the marginal models and can be used to easily specify a different individual marginal model specification or default in marginal_settings(). The ARMA(ar,ma)-GARCH(arch,garch) is fitted with the distribution given by dist that specifies the conditional density used for the innovations.

Usage

default_garch_spec(ar = 1, ma = 1, arch = 1, garch = 1, dist = "sstd")

Arguments

ar	integer for the autoregressive order
ma	integer for the moving average order
arch	integer for the ARCH order
garch	integer for the GARCH order
dist	a single character value of the possible distributions allowed in rugarch::ugarchspec

Value

object of class rugarch::ugarchspec

See Also

marginal_settings()

Examples

# the default is then just using
default_garch_spec()
# to specify a ARMA(2,2)-GARCH(1,1) model with normal residual distribution
default_garch_spec(ar = 2, ma = 2, dist = "norm")

portvine documentation built on May 29, 2024, 2:27 a.m.