cgarch_modelspec: Copula GARCH model specification

In tsmarch: Multivariate ARCH Models

Copula GARCH model specification

Description

Copula GARCH model specification

Usage

## S3 method for class 'tsgarch.multi_estimate'
cgarch_modelspec(
  object,
  dynamics = c("constant", "dcc", "adcc"),
  dcc_order = c(1, 1),
  transformation = c("parametric", "empirical", "spd"),
  copula = c("mvn", "mvt"),
  constant_correlation = c("pearson", "kendall", "spearman"),
  cond_mean = NULL,
  ...
)

Arguments

object	an object of class “tsgarch.multi_estimate”.
dynamics	the type of correlation dynamics to use.
dcc_order	the order of the dynamics in case of “dcc” or “adcc” correlation models.
transformation	the copula transformation to apply.
copula	the copula distribution.
constant_correlation	the constant correlation estimator to use. In the case of the “mvt” copula, only Kendall's tau is a valid choice.
cond_mean	an optional matrix of the conditional mean for the series.
...	additional arguments passed to the spd_modelspec function in the case of the “spd” transformation.

Value

an object of class “cgarch.spec”.

tsmarch documentation built on April 3, 2025, 7:40 p.m.