plus-.tsgarch.spec: Combine univariate GARCH specifications into a...

In tsgarch: Univariate GARCH Models

Combine univariate GARCH specifications into a multi-specification object

Description

Combine univariate GARCH specifications into a multi-specification object

Usage

## S3 method for class 'tsgarch.spec'
x + y

Arguments

x	an object of class “tsgarch.spec”
y	an object of class “tsgarch.spec”

Details

A simple method for combining multiple specifications into an object which can then be estimated using parallel resources. Note that the returned object is effectively a validated list of specification objects with no names. Names can be assigned post-construction (see example).

Value

an object of class “tsgarch.multispec”

Examples

library(xts)
x <- xts(rnorm(1000), as.Date(1:1000, origin = "1970-01-01"))
y <- xts(rnorm(1000), as.Date(1:1000, origin = "1970-01-01"))
z <- xts(rnorm(1000), as.Date(1:1000, origin = "1970-01-01"))
mspec <- garch_modelspec(x, model = "egarch") +
garch_modelspec(y, model = "cgarch") +
garch_modelspec(z, model = "aparch")
names(mspec) <- c("x", "y", "z")
sapply(mspec, function(x) x$model$model)

tsgarch documentation built on Oct. 12, 2024, 1:07 a.m.