varSet: Set conditional variance for general regression with ARCH...

In RRegArch: General univariate ARCH models simulation and estimation

Description

This function returns a condVarClass object describing the conditional variance of the model.

Usage

    varSet(CONSTVAR=0)
    varSet(nARCH=1)
    varSet(ARCH=list(ConstVar=0, ARCH=c(0)))
    varSet(nGARCH=c(1, 1))
    varSet(GARCH=list(ConstVar=0, ARCH=c(0), GARCH=c(0)))
    varSet(nTARCH=1)
    varSet(TARCH=list(TARCHPlus=c(0), TARCHMinus=c(0)))
    varSet(nEGARCH=c(1, 1))
    varSet(EGARCH=list(ConstVar=0, ARCH=c(0), GARCH=c(0), Teta=0, Gamma=0))
    varSet(nAPARCH=c(1, 1))
    varSet(APARCH=list(ConstVar=0, ARCH=c(0), Gamma=c(0), GARCH=c(0), Delta=2)
    ## S3 method for class 'condVarClass'
print(x, ...)

Arguments

CONSTVAR	A double: value of the constant variance for a constant variance model.
ARCH	A list with: ConstVar the value of the constant of the ARCH(p) model. ARCH a vector of ARCH coefficients.
nARCH	An integer: number of ARCH lags.
GARCH	A list with: ConstVar the value of the constant of the GARCH(p, q) model. ARCH a vector of ARCH coefficients. GARCH a vector of GARCH coefficients.
nGARCH	a 2-dimensional vector with ARCH and GARCH lags.
TARCH	A list with: TARCHPlus a vector of TARCH+ coefficients. TARCHMinus a vector of TARCH- coefficients.
nTARCH	An integer: number of ARCH lags.
EGARCH	A list with: ConstVar the value of the constant of the EGARCH(p, q) model. ARCH a vector of ARCH coefficients. GARCH a vector of GARCH coefficients. Teta a double, value of Teta coefficient. Gamma a double, value of Gamma coefficient.
nEGARCH	a 2-dimensional vector with ARCH and GARCH lags.
APARCH	A list with: ConstVar the value of the constant of the EGARCH(p, q) model. ARCH a vector of ARCH coefficients. Gamma a vector of Gamma coefficients. GARCH a vector of GARCH coefficients. Delta a double, value of Delta coefficient.
nAPARCH	a 2-dimensional vector with ARCH and GARCH lags.

Value

a condVarClass object which describes the conditional variance model.

varType	an integer eConstVar=1 Constant conditional variance model eARCH=2 ARCH(p) model eGARCH=4 GARCH(p,q) model eEGARCH=8 EGARCH(p,q) model eAPARCH=16 APARCH(p,q) model eTARCH=32 TARCH(p) model
nParam	An integer. Number of parameters in the conditional variance model.
ConstVar	A double. Value of the constant part of the conditional variance (all models).
nARCH	An integer. Number of ARCH lags (all model except Constant conditional variance model).
ARCH	A vector. ARCH parameters (all model except Constant conditional variance and TARCH models).
nGARCH	An integer. Number of GARCH lags (all model except Constant conditional variance and TARCH models).
GARCH	A vector. GARCH parameters (all model except Constant conditional variance and TARCH models).
ARCHPlus	A vector. ARCH+ parameters for TARCH model.
ARCHMinus	A vector. ARCH- parameters for TARCH model.
Teta	A double. Teta parameter of EGARCH model.
Gamma	A double for EGARCH model, a vector for APARCH model. Gamma parameter for these models.
Delta	A double. Delta parameter for APARCH model.

Note

models Let h(t) the value of the conditional variance at date t. We have:
h(t)=ConstVar for constant conditional variance model.
h(t)=ConstVar + ∑_{i=1}^{nARCH}{ARCH[i] u(t-i)} for ARCH model.

Examples

    # ARCH2 model
    hh1 <- varSet(ARCH=list(ARCH=c(0.1,0.8), ConstVar=0.1))
    
    # GARCH(2,1) model 
    hh2 <- varSet(nGARCH=c(2,1))
    
    # APARCH model
    hh3 <- varSet(APARCH=list(.1, ARCH=.1, Gamma=.2, GARCH=.2, Delta=1.8))
    
   

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