tvgarchObj: Auxiliary functions

In tvgarch: Time Varying GARCH Modelling

Auxiliary functions

Description

Auxiliary functions used in the estimation of the univariate and multivariate TV(s)-GARCH(p,q,r)-X model. Not intended for the average user.

Usage

  tv(speed, location, xtv = NULL, n = NULL, opt = 0, 
  order.g = NULL, as.zoo = TRUE, verbose = FALSE)
  tvObj(par.g, fixed.par.g, xtv, opt, order.g, fixed.h, y, iter0, flag)
  garchObj(par.h, xreg, order.h, fixed.g, y, flag)
  tvgarchObj(par, fixed.par.g, y, order.g, xtv, opt, iter.fit.h, flag)

Arguments

speed	NULL or numeric vector with the values of the speed coefficients.
location	NULL or numeric vector with the values of the location coefficients.
xtv	NULL or numeric vector, time series or zoo object to include as the transition variable in the TV component. If NULL, a continuous variable bounded between 0 and 1 for n observations is constructed and used as the transition variable.
n	integer indicating the number of observations of the continuous transition variable bounded between 0 and 1.
opt	integer, indicates whether the speed parameter in the TV component should be scaled. If 0, no scaling; if 1, speed/sd(xtv); if 2, exp(speed). For function tv(), the default is 0.
order.g	a scalar in tv() and an integer vector of length s in tvObj() indicating the number of locations in each transition function of the TV component. For function tv(), it defaults to NULL.
as.zoo	logical. If TRUE, then the returned result is of class zoo.
verbose	logical, if TRUE, the values of not only the logistic transition function but also the transition variable are returned.
par.g	numeric vector with the values of the parameters in the TV component. If iter0=TRUE, par.g takes the form c(intercept.g, size, speed, location); if iter0=FALSE, then par.g=c(speed,size, location) and the values of the fixed parameters are provided using fixed.par.g).
fixed.par.g	NULL or numeric vector with the values of the parameters fixed in the TV component, i.e., intercept.g.
par	NULL or numeric vector with the values of the parameters in the TV-GARCH-X model.
fixed.h	numeric vector, time series or zoo containing the values of GARCH-X component).
y	numeric vector, time series or zoo object.
iter0	logical. If FALSE, some parameters in the TV component are fixed during the iterative estimation.
flag	integer. If 0, returns a numeric vector with the values of the objective function; if 1 returns the the value of the objective function; if 2, returns the fitted variance components.
par.h	numeric vector with the values of the parameters in the GARCH-X component.
order.h	integer vector of the form c(p,q,r). The first entry controls the GARCH order, the second the ARCH order and the third the asymmetry order of the GARCH-X component.
xreg	numeric vector, times eries or zoo object to include as covariates in the GARCH-X component.
fixed.g	numeric vector, time series or zoo containing the values of TV component).
iter.fit.h	a list of class 'garchx'.

Value

The values of the objective function or fitted variance components.

Author(s)

Susana Campos-Martins

See Also

tvgarch, fitted.tvgarch, residuals.tvgarch

tvgarch documentation built on Sept. 2, 2025, 1:08 a.m.