acdspec: Model specification

In TrungLeVn/SgtAcd: Autoregressive Density Model with Skewed Generalized Student-t distribution

Description

Specify models to estimate with mean, variance and higher moment equations

Usage

function(variance.model = list(model = "gjrGARCH", garchOrder = c(1, 1),variance.targeting = FALSE),
      mean.model = list(armaOrder = c(0,0), include.mean = TRUE),
      distribution.model = list(model = "sged", skewOrder = c(1,0, 1),skewshock = 1, skewshocktype = 1, skewmodel = "quad",
                                shape1Order = c(1, 0, 1), shape1shock = 1, shape1shocktype = 1,shape1model = "quad",
                                 shape2Order = c(1, 0, 1), shape2shock = 1, shape2shocktype = 1,shape2model = "quad",exp.rate = 1),
      start.pars = list(), fixed.pars = list())

Arguments

variance.model	Specification of variance process. Only support sGARCH and gjrGARCH. Do not support external regessor.
mean.model	Specification of mean process. Only support maximum ARMA(1,1)
distribution.model	Specification of skew/shape distribution's parameter dynamids. Only support "sgt", "sged" and "nig" as conditional distribution.
start.pars	List of starting values for specific parameters using in optimization routines
fixed.pars	List of parameters that we want to fixed, i.e, drop out of optimization routines

Value

Return an ACDspec,i.e., specification objects.

TrungLeVn/SgtAcd documentation built on July 25, 2021, 4:49 a.m.