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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.
##
#################################################################################
# Check the csGARCH model
rugarch.test11a = function(cluster=NULL)
{
tic = Sys.time()
#cat("\nrugarch-->test11-1: Component GARCH parameter distribution\n")
data(sp500ret)
spec = ugarchspec(variance.model = list(model="csGARCH"))
fit = ugarchfit(spec, sp500ret)
dist = ugarchdistribution(fit, n.sim = 1000, n.start = 1,
m.sim = 200, recursive = TRUE, recursive.length = 6000, recursive.window = 1000,
fit.control = list(), solver = "solnp", solver.control = list(), cluster = cluster)
options(width=120)
zz <- file("test11a.txt", open="wt")
sink(zz)
show(dist)
sink(type="message")
sink()
close(zz)
postscript("test11a-1.eps")
plot(dist, which = 1, window=6)
dev.off()
png("test11a-1.png", width=800, height=800)
plot(dist, which = 2, window = 6)
dev.off()
toc = Sys.time()-tic
cat("Elapsed:", toc, "\n")
return(toc)
}
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