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#################################################################################
##
## R package rugarch by Alexios Galanos Copyright (C) 2008-2022.
## This file is part of the R package rugarch.
##
## The R package rugarch is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## The R package rugarch 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 General Public License for more details.
##
#################################################################################
fgarchKappa<-function(lambda, delta, eta1, eta2, fk, ghlambda, shape, skew, cond.density,...)
{
kappa = try(expr=integrate(.ffunE, lower = -Inf, upper = Inf, lambda, delta, eta1, eta2, fk, ghlambda, shape, skew, cond.density,...)[[1]],
silent=TRUE)
if(inherits(kappa, "try-error")){
kappa<-NA}
kappa
}
.ffunE<-function(x, lambda, delta, eta1, eta2, fk, ghlambda, shape, skew, cond.density,...)
{ # A function implemented by Alexios Galanos
# Compute Expectation Value
kdelta=delta+fk*lambda
cond.density = cond.density[1]
if (cond.density == "norm"){
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * dnorm(x)
}
else if(cond.density == "ged") {
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * dged(x, shape = shape)
}
else if(cond.density == "std") {
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * dstd(x, shape = shape)
}
else if(cond.density == "snorm") {
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * dsnorm(x, skew = skew)
}
else if(cond.density == "sged") {
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * dsged(x, shape = shape, skew = skew)
}
else if(cond.density == "sstd") {
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * dsstd(x, shape = shape, skew = skew)
}
else if(cond.density == "nig") {
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * dsnig(x, shape = shape, skew = skew)
}
else if(cond.density == "ghyp") {
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * dsgh(x, shape = shape, skew = skew, lambda = ghlambda)
}
else if(cond.density == "jsu") {
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * djsu(x, skew = skew, shape = shape)
}
else if(cond.density == "ghst") {
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * dsghst(x, skew = skew, shape = shape)
}
else{
temp<-paste("d",cond.density,sep="")
.ddist<-eval(parse(text=paste(temp)))
fun = (((abs(x - eta2) - eta1*(x - eta2)))^kdelta) * .ddist(x,...)
}
# Return Value:
fun
}
gjrgarchKappa<-function(gm, ghlambda, shape, skew, cond.density,...)
{
kappa = try(expr=integrate(.gjrfunE, lower = -Inf, upper = Inf, gm, ghlambda, shape, skew, cond.density,...)[[1]],
silent=TRUE)
if(inherits(kappa, "try-error")){
kappa<-NA}
else{kappa<-integrate(.gjrfunE, lower = -Inf, upper = Inf, gm, ghlambda, shape, skew, cond.density,...)[[1]]}
kappa
}
.gjrfunE<-function(x, gm, ghlambda, shape, skew, cond.density,...)
{ # A function implemented by Alexios Galanos
# Compute Expectation Value
cond.density = cond.density[1]
if (cond.density == "norm"){
fun = (x^2 + gm*(x^2)*(x<0)) * dnorm(x)
}
else if(cond.density == "ged") {
fun = (x^2 + gm*(x^2)*(x<0)) * dged(x, shape = shape)
}
else if(cond.density == "std") {
fun = (x^2 + gm*(x^2)*(x<0)) * dstd(x, shape = shape)
}
else if(cond.density == "snorm") {
fun = (x^2 + gm*(x^2)*(x<0)) * dsnorm(x, skew = skew)
}
else if(cond.density == "sged") {
fun = (x^2 + gm*(x^2)*(x<0)) * dsged(x, shape = shape, skew = skew)
}
else if(cond.density == "sstd") {
fun = (x^2 + gm*(x^2)*(x<0)) * dsstd(x, shape = shape, skew = skew)
}
else if(cond.density == "nig") {
fun = (x^2 + gm*(x^2)*(x<0)) * dsnig(x, shape = shape, skew = skew)
}
else if(cond.density == "ghyp") {
fun = (x^2 + gm*(x^2)*(x<0)) * dsgh(x, shape = shape, skew = skew, lambda = ghlambda)
}
else if(cond.density == "jsu") {
fun = (x^2 + gm*(x^2)*(x<0)) * djsu(x, skew = skew, shape = shape)
}
else if(cond.density == "ghst") {
fun = (x^2 + gm*(x^2)*(x<0)) * dsghst(x, skew = skew, shape = shape)
}
else{
temp<-paste("d",cond.density,sep="")
.ddist<-eval(parse(text=paste(temp)))
fun = (x^2 + gm*(x^2)*(x<0)) * .ddist(x,...)
}
# Return Value:
fun
}
# probability that x<0
pneg<-function(ghlambda, shape, skew, cond.density,...)
{
kappa = try(expr=integrate(.pnegfunE, lower = -Inf, upper = 0, ghlambda, shape, skew, cond.density,...)[[1]],
silent=TRUE)
if(inherits(kappa, "try-error")){
kappa<-NA}
else{kappa<-integrate(.pnegfunE, lower = -Inf, upper = 0, ghlambda, shape, skew, cond.density,...)[[1]]}
kappa
}
.pnegfunE<-function(x, ghlambda, shape, skew, cond.density,...)
{ # A function implemented by Alexios Galanos
# Compute Expectation Value
cond.density = cond.density[1]
if (cond.density == "norm"){
fun = dnorm(x)
}
else if(cond.density == "ged") {
fun = dged(x, shape = shape)
}
else if(cond.density == "std") {
fun = dstd(x, shape = shape)
}
else if(cond.density == "snorm") {
fun =dsnorm(x, skew = skew)
}
else if(cond.density == "sged") {
fun = dsged(x, shape = shape, skew = skew)
}
else if(cond.density == "sstd") {
fun = dsstd(x, shape = shape, skew = skew)
}
else if(cond.density == "nig") {
fun = dsnig(x, shape = shape, skew = skew)
}
else if(cond.density == "ghyp") {
fun = dsgh(x, shape = shape, skew = skew, lambda = ghlambda)
}
else if(cond.density == "jsu") {
fun = djsu(x, skew = skew, shape = shape)
}
else if(cond.density == "ghst") {
fun = dsghst(x, skew = skew, shape = shape)
}
else{
temp<-paste("d",cond.density,sep="")
.ddist<-eval(parse(text=paste(temp)))
fun = .ddist(x,...)
}
# Return Value:
fun
}
egarchKappa<-function(ghlambda, shape, skew, cond.density,...)
{
kappa = try(expr=integrate(.efunE, lower = -Inf, upper = Inf, ghlambda, shape, skew, cond.density,...)[[1]],
silent=TRUE)
if(inherits(kappa, "try-error")){
kappa<-NA}
else{kappa<-integrate(.efunE, lower = -Inf, upper = Inf, ghlambda, shape, skew, cond.density,...)[[1]]}
kappa
}
.efunE<-function(x, ghlambda, shape, skew, cond.density,...)
{ # A function implemented by Alexios Galanos
# Compute Expectation Value
cond.density = cond.density[1]
if(cond.density == "norm"){
fun = abs(x) * dnorm(x)
}
else if(cond.density == "ged") {
fun = abs(x) * dged(x, shape = shape)
}
else if(cond.density == "std") {
fun = abs(x) * dstd(x, shape = shape)
}
else if(cond.density == "snorm") {
fun = abs(x) * dsnorm(x, skew = skew)
}
else if(cond.density == "sged") {
fun = abs(x) * dsged(x, shape = shape, skew = skew)
}
else if(cond.density == "sstd") {
fun = abs(x) * dsstd(x, shape = shape, skew = skew)
}
else if(cond.density == "nig") {
fun = abs(x) * dsnig(x, shape = shape, skew = skew)
}
else if(cond.density == "ghyp") {
fun = abs(x) * dsgh(x, shape = shape, skew = skew, lambda = ghlambda)
}
else if(cond.density == "jsu") {
fun = abs(x) * djsu(x, skew = skew, shape = shape)
}
else if(cond.density == "ghst") {
fun = abs(x) * dsghst(x, skew = skew, shape = shape)
}
else{
temp<-paste("d",cond.density,sep="")
.ddist<-eval(parse(text=paste(temp)))
fun = abs(x) * .ddist(x,...)
}
# Return Value:
fun
}
aparchKappa<-function(gm, delta, ghlambda, shape, skew, cond.density,...)
{
kappa = try(expr=integrate(.afunE, lower = -Inf, upper = Inf, gm, delta, ghlambda, shape, skew, cond.density,...)[[1]],
silent=TRUE)
if(inherits(kappa, "try-error")){
kappa<-NA}
else{kappa<-integrate(.afunE, lower = -Inf, upper = Inf, gm, delta, ghlambda, shape, skew, cond.density,...)[[1]]}
kappa
}
.afunE<-function(x, gm, delta, ghlambda, shape, skew, cond.density,...)
{ # A function implemented by Alexios Galanos
# Compute Expectation Value
cond.density = cond.density[1]
if (cond.density == "norm"){
fun = ((abs(x)-gm*x)^(delta)) * dnorm(x)
}
else if(cond.density == "ged") {
fun = ((abs(x)-gm*x)^(delta)) * dged(x, shape = shape)
}
else if(cond.density == "std") {
fun = ((abs(x)-gm*x)^(delta)) * dstd(x, shape = shape)
}
else if(cond.density == "snorm") {
fun = ((abs(x)-gm*x)^(delta)) * dsnorm(x, skew = skew)
}
else if(cond.density == "sged") {
fun = ((abs(x)-gm*x)^(delta)) * dsged(x, shape = shape, skew = skew)
}
else if(cond.density == "sstd") {
fun = ((abs(x)-gm*x)^(delta)) * dsstd(x, shape = shape, skew = skew)
}
else if(cond.density == "nig") {
fun = ((abs(x)-gm*x)^(delta)) * dsnig(x, shape = shape, skew = skew)
}
else if(cond.density == "ghyp") {
fun = ((abs(x)-gm*x)^(delta)) * dsgh(x, shape = shape, skew = skew, lambda = ghlambda)
}
else if(cond.density == "jsu") {
fun = ((abs(x)-gm*x)^(delta)) * djsu(x, skew = skew, shape = shape)
}
else if(cond.density == "ghst") {
fun = ((abs(x)-gm*x)^(delta)) * dsghst(x, skew = skew, shape = shape)
}
else{
temp<-paste("d",cond.density,sep="")
.ddist<-eval(parse(text=paste(temp)))
fun = ((abs(x)-gm*x)^(delta)) * .ddist(x,...)
}
# Return Value:
fun
}
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