assetbetas: <assetbetas>

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

Description

<compute conditional mean equations of MSGARCH models>

Usage

assetbetas(specm, wspecm = list(), dates, Y, k = 2, p = 1, npar, df, wdf,
  Aic = -1500)

Arguments

specm	A formula object for the MS conditional mean model to fit.
wspecm	A list of formulas for the weighted GLM models to fit (alternative to MS).
dates	A Date vector.
Y	A vector containing independent variable.
k	Integer, number of regimes to fit, default is 2.
p	Integer, order of lags to add in the MS specification, default is 1.
npar	Integer, number of coefficients to estimate + 1.
df	A data.frame object containing regressors and independent variable.
wdf	A "verify" object produced by BMLgarch function output.
Aic	A real number indicating the maximum desired AIC value.

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