R/allspecs.R

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

#' @title <allspecs>
#'
#' @description <compute a Bayesian Slot Machine of MS-GARCH specifications>
#' @param none
#' @export


allspecs<-function(garchmodels=c("sGARCH",   "eGARCH",   "gjrGARCH", "GAS"),distributions=c("norm", "std",  "ged")) {






  suppressWarnings(suppressMessages(invisible(library("MSwM"))))
  suppressWarnings(suppressMessages(invisible(library("gtools"))))
  suppressWarnings(suppressMessages(invisible(library("foreach"))))
  suppressWarnings(suppressMessages(invisible(library("xts"))))
  suppressWarnings(suppressMessages(invisible(library("MSGARCH"))))
  gtools::combinations(length(garchmodels),3,garchmodels,repeats=T)->tofit3
  gtools::combinations(length(distributions),3,distributions,repeats=T)->todist3

  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[1,]), do.skew = c(T,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist1A
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[2,]), do.skew = c(T,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist2A
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[3,]), do.skew = c(T,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist3A
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[4,]), do.skew = c(T,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist4A
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[5,]), do.skew = c(T,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist5A
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[6,]), do.skew = c(T,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist6A
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[7,]), do.skew = c(T,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist7A
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[8,]), do.skew = c(T,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist8A
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[9,]), do.skew = c(T,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist9A
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[10,]), do.skew = c(T,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist10A


  list(MODELSdist1A, MODELSdist2A, MODELSdist3A, MODELSdist4A, MODELSdist5A, MODELSdist6A, MODELSdist7A, MODELSdist8A, MODELSdist9A, MODELSdist10A)->msg31
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[1,]), do.skew = c(F,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist1B
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[2,]), do.skew = c(F,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist2B
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[3,]), do.skew = c(F,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist3B
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[4,]), do.skew = c(F,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist4B
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[5,]), do.skew = c(F,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist5B
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[6,]), do.skew = c(F,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist6B
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[7,]), do.skew = c(F,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist7B
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[8,]), do.skew = c(F,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist8B
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[9,]), do.skew = c(F,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist9B
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[10,]), do.skew = c(F,T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist10B


  list(MODELSdist1B, MODELSdist2B, MODELSdist3B, MODELSdist4B, MODELSdist5B, MODELSdist6B, MODELSdist7B, MODELSdist8B, MODELSdist9B, MODELSdist10B)->msg32

  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[1,]), do.skew = c(F,F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist1C
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[2,]), do.skew = c(F,F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist2C
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[3,]), do.skew = c(F,F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist3C
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[4,]), do.skew = c(F,F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist4C
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[5,]), do.skew = c(F,F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist5C
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[6,]), do.skew = c(F,F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist6C
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[7,]), do.skew = c(F,F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist7C
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[8,]), do.skew = c(F,F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist8C
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[9,]), do.skew = c(F,F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist9C
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[10,]), do.skew = c(F,F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist10C


  list(MODELSdist1C, MODELSdist2C, MODELSdist3C, MODELSdist4C, MODELSdist5C, MODELSdist6C, MODELSdist7C, MODELSdist8C, MODELSdist9C, MODELSdist10C)->msg33
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[1,]), do.skew = c(F,F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist1D
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[2,]), do.skew = c(F,F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist2D
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[3,]), do.skew = c(F,F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist3D
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[4,]), do.skew = c(F,F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist4D
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[5,]), do.skew = c(F,F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist5D
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[6,]), do.skew = c(F,F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist6D
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[7,]), do.skew = c(F,F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist7D
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[8,]), do.skew = c(F,F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist8D
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[9,]), do.skew = c(F,F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist9D
  foreach(i=1:nrow(tofit3)) %do% create.spec(model = c(tofit3[i,]), distribution = c(todist3[10,]), do.skew = c(F,F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist10D


  list(MODELSdist1D, MODELSdist2D, MODELSdist3D, MODELSdist4D, MODELSdist5D, MODELSdist6D, MODELSdist7D, MODELSdist8D, MODELSdist9D, MODELSdist10D)->msg34

  list(msg31,msg32,msg33,msg34)->ALLMODELS3


  gtools::combinations(length(garchmodels),2,garchmodels,repeats=T)->tofit2
  gtools::combinations(length(distributions),2,distributions,repeats=T)->todist2


  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[1,]), do.skew = c(T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist1A
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[2,]), do.skew = c(T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist2A
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[3,]), do.skew = c(T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist3A
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[4,]), do.skew = c(T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist4A
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[5,]), do.skew = c(T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist5A
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[6,]), do.skew = c(T,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist6A


  list(MODELSdist1A, MODELSdist2A, MODELSdist3A, MODELSdist4A, MODELSdist5A, MODELSdist6A)->msg21
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[1,]), do.skew = c(F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist1B
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[2,]), do.skew = c(F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist2B
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[3,]), do.skew = c(F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist3B
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[4,]), do.skew = c(F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist4B
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[5,]), do.skew = c(F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist5B
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[6,]), do.skew = c(F,T), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist6B


  list(MODELSdist1B, MODELSdist2B, MODELSdist3B, MODELSdist4B, MODELSdist5B, MODELSdist6B)->msg22

  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[1,]), do.skew = c(T,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist1C
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[2,]), do.skew = c(T,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist2C
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[3,]), do.skew = c(T,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist3C
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[4,]), do.skew = c(T,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist4C
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[5,]), do.skew = c(T,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist5C
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[6,]), do.skew = c(T,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist6C


  list(MODELSdist1C, MODELSdist2C, MODELSdist3C, MODELSdist4C, MODELSdist5C, MODELSdist6C)->msg23
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[1,]), do.skew = c(F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist1D
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[2,]), do.skew = c(F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist2D
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[3,]), do.skew = c(F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist3D
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[4,]), do.skew = c(F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist4D
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[5,]), do.skew = c(F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist5D
  foreach(i=1:nrow(tofit2)) %do% create.spec(model = c(tofit2[i,]), distribution = c(todist2[6,]), do.skew = c(F,F), do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist6D


  list(MODELSdist1D, MODELSdist2D, MODELSdist3D, MODELSdist4D, MODELSdist5D, MODELSdist6D)->msg24

  list(msg21,msg22,msg23,msg24)->ALLMODELS2

  gtools::combinations(length(garchmodels),1,garchmodels,repeats=T)->tofit1
  gtools::combinations(length(distributions),1,distributions,repeats=T)->todist1



  foreach(i=1:nrow(tofit1)) %do% create.spec(model = c(tofit1[i,]), distribution = c(todist1[1,]), do.skew = T, do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist1A
  foreach(i=1:nrow(tofit1)) %do% create.spec(model = c(tofit1[i,]), distribution = c(todist1[2,]), do.skew = T, do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist2A
  foreach(i=1:nrow(tofit1)) %do% create.spec(model = c(tofit1[i,]), distribution = c(todist1[3,]), do.skew = T, do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist3A



  list(MODELSdist1A, MODELSdist2A, MODELSdist3A)->msg11

  foreach(i=1:nrow(tofit1)) %do% create.spec(model = c(tofit1[i,]), distribution = c(todist1[1,]), do.skew = F, do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist1B
  foreach(i=1:nrow(tofit1)) %do% create.spec(model = c(tofit1[i,]), distribution = c(todist1[2,]), do.skew = F, do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist2B
  foreach(i=1:nrow(tofit1)) %do% create.spec(model = c(tofit1[i,]), distribution = c(todist1[3,]), do.skew = F, do.mix = FALSE, do.shape.ind = FALSE)->MODELSdist3B


  list(MODELSdist1B, MODELSdist2B, MODELSdist3B)->msg12

  list(msg11,msg12)->ALLMODELS1

  suppressMessages(invisible(rm(i,MODELSdist1D, MODELSdist2D, MODELSdist3D, MODELSdist4D, MODELSdist5D, MODELSdist6D, MODELSdist7D, MODELSdist8D, MODELSdist9D, MODELSdist10D,
                                MODELSdist1C, MODELSdist2C, MODELSdist3C, MODELSdist4C, MODELSdist5C, MODELSdist6C, MODELSdist7C, MODELSdist8C, MODELSdist9C, MODELSdist10C,
                                MODELSdist1B, MODELSdist2B, MODELSdist3B, MODELSdist4B, MODELSdist5B, MODELSdist6B, MODELSdist7B, MODELSdist8B, MODELSdist9B, MODELSdist10B,
                                MODELSdist1A, MODELSdist2A, MODELSdist3A, MODELSdist4A, MODELSdist5A, MODELSdist6A, MODELSdist7A, MODELSdist8A, MODELSdist9A, MODELSdist10A,msg31,msg32,msg33,msg34,
                                msg21,msg22,msg23,msg24,msg11,msg12)))

  return(list(ALLMODELS3=ALLMODELS3,fits3=tofit3,dists3=todist3,ALLMODELS2=ALLMODELS2,fits2=tofit2,dists2=todist2,ALLMODELS1=ALLMODELS1,fits1=tofit1,dists1=todist1))->outt
  suppressMessages(attach(outt))
}