garch_params | R Documentation |
Tuning Parameters for GARCHA Models
garch_order(range = c(0L, 3L), trans = NULL) arch_order(range = c(0L, 3L), trans = NULL) mgarch_order(range = c(0L, 3L), trans = NULL) garch_t_student() asymmetry()
range |
A two-element vector holding the defaults for the smallest and largest possible values, respectively. |
trans |
A |
The main parameters for GARCHA models are:
garch_order
: Integer with the garch order.
arch_order
: Integer with the arch_order.
mgarch_order
: Integer with the mgarch order.
garch_t_student
: A boolean value to specify for a generalized t-student garch model.
asymmetry
: a string value for the asymmetric function for an asymmetric GARCH process. By default the
value "none" for standard GARCH process. If "logit" a logistic function is used for asymmetry, and if
"exp" an exponential function is used.
non_seasonal_ar
: The order of the non-seasonal auto-regressive (AR) terms.
non_seasonal_ma
: The order of the non-seasonal moving average (MA) terms.
markov_chains
: The number of markov chains.
adapt_delta
: The thin of the jumps in a HMC method
tree_depth
: Maximum depth of the trees
A parameter
A parameter
A parameter
A parameter
A parameter
non_seasonal_ar() non_seasonal_differences() non_seasonal_ma()
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