RegArchFit: Fit the parameters of a general regression with ARCH type...

In RRegArch: General univariate ARCH models simulation and estimation

Description

This function returns a RegArchFitClass object giving the estimators of the model.

Usage

    modelSet(Yt, model, initPoint=NULL, method=NULL, h=1e-3, control = list())
   ## S3 method for class 'RegArchFitClass'
print(x, ...)
   ## S3 method for class 'RegArchFitClass'
summary(object, ...)
   ## S3 method for class 'summary.RegArchFitClass'
print(x, ...)

Arguments

Yt	a vector of doubles: the time serie observations
model	a RegArchModelClass object describing the model. See modelSet
initPoint	a RegArchModelClass object: initial point of the optim function.
method	optim function 'method' parameter. See optim
h	a double: relative step used to compute the hessian matrix
control	optim 'control' parameter. See optim

Value

param	a RegArchModelClass of the fitted parameters.
asymptCov	the estimated asymptotic covariance matrix of the estimates
LLH	the log-likelihood value
convergence	optim 'convergence' value. See optim

See Also

optim

Examples

    mm1 <- meanSet(CONST=1)
    hh1 <- varSet(CONSTVAR=1)
    rr1 <- residualsSet('NORMAL')
    model1 <- modelSet(mm1, hh1, rr1)
    data(NormData)
    Res1<-RegArchFit(NormData, model=model1)
    summary(Res1)
    
    mm2 <- meanSet(nAR=2, CONST=2)
    hh2 <- varSet(nGARCH=c(1,1))
    rr2 <- residualsSet('STUDENT', 10)
    model2 <- modelSet(mm2, hh2, rr2)
    data(ARGARCHData)
    Res2<-RegArchFit(ARGARCHData, model=model2, control=list(maxit=5000))
    summary(Res2)
    
    
  

RRegArch documentation built on May 2, 2019, 4:59 p.m.