BMLgarch: <BMLgarch>

In rickycant90/BMLgarch: Econometric and Mathematic tools for market analysis and portfolio optimization.

Description

<Iteratively fitting MSGARCH models relying on their DIC values>

Usage

BMLgarch(X, dates, k = 2, show.spec = TRUE, burns = 800, mcmc = 1700,
  Dic = -5000, maxht = 2, fortime = 7, ndraws = 700, sds = 3,
  pred.diag = FALSE)

Arguments

X	A vector containing dependent variable observations.
k	Integer, number of regimes to fit in the MSGARCH model, default is 2.
show.spec	Logical, if true it shows specifications fitted at each iteration.
burns	Integer. MCMC parameter, draws to burn, default is 800.
mcmc	Integer. MCMC parameter, draws to keep, default is 1700.
Dic	Real number, the maximum value of DIC to accept a model, default is -5000.
maxht	Real number, the maximum value of fitted h(t) to keep the model, default value is 2.
fortime	Integer, number of n steps ahead to compute out-of-sample forecasts, default is 7.
ndraws	Integer, number of MCMC draws to compute at each of the n steps ahead to forecast, default is 700.
sds	Real number, upper and lower bounds (in terms of standard deviations) of predicted values,default is 3.

rickycant90/BMLgarch documentation built on May 23, 2019, 10:36 p.m.