modelSet: Set model for general regression with ARCH type residuals

In RRegArch: General univariate ARCH models simulation and estimation

Description

This function returns a RegArchModelClass object describing the model.

Usage

    modelSet(condMean, condVar, condRes)
   ## S3 method for class 'RegArchModelClass'
print(x, ...)

Arguments

condMean	a CondMeanClass object describing the conditional mean of the model. See meanSet
condVar	a CondVarClass object describing the conditional variance of the model. See varSet
condRes	a CondResidualsClass object describing the conditional resididuals of the model. See residualsSet

Examples

 # AR2 model with constant
    mm1 <- meanSet(AR=c(0.1,0.2), CONST=2.0)
    # GARCH(2,1) model 
    hh2 <- varSet(nGARCH=c(2,1))
  # set Student with 10 dof conditional distribution
    rr2 <- residualsSet('STUDENT', 10)
  #set AR2 - GARCH(2,1) model with Student residuals
    model1 <- modelSet(mm1, hh2, rr2)
  

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