multispec-methods: function: Univariate multiple GARCH Specification

In rugarch: Univariate GARCH Models

function: Univariate multiple GARCH Specification

Description

Method for creating a univariate multiple GARCH or ARFIMA specification object prior to fitting.

Usage

multispec( speclist )

Arguments

speclist

A list with as many univariate GARCH or ARFIMA specifications of class uGARCHspec and ARFIMAspec as there will be columns in the data object passed to one of the other methods which uses a multiple specification object (fitting, filtering and forecasting).

Value

A uGARCHmultispec or ARFIMAmultispec object containing details of the multiple GARCH or ARFIMA specifications.

Author(s)

Alexios Ghalanos

Examples

# how to make a list with 2 uGARCHspec objects of the same type
spec = ugarchspec()
mspec = multispec( replicate(2, spec) )
# note that replicate(spec, 2) does not work...be careful about the order 
# else explicity name 'n' (i.e. n = 2)

# or simply combine disparate objects
spec1 = ugarchspec(distribution = "norm")
spec2 = ugarchspec(distribution = "std")
mspec = multispec( c( spec1, spec2 ) )

rugarch documentation built on Sept. 20, 2023, 9:07 a.m.