inst/unitTests/runit.garchFit.init.R

In fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

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# Copyrights (C)
# for this R-port:
#   1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
#   Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
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################################################################################
# FUNCTION:               PARAMETER ESTIMATION:
#  'fGARCH'                S4: fGARCH Class representation
#  garchFit                Fits GARCH and APARCH processes
################################################################################


test.garchFit.init <-
    function()
{
    # RVs:
    RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
    set.seed(4711, kind = "Marsaglia-Multicarry")

    # Simulate Garch(1,1) Series:
    x = garchSim(n = 250)

    # Modify Start Values - mci default:
    fit = garchFit( ~ garch(1,1), x, init.rec = "mci", trace = FALSE) # default
    print(coef(fit))

    # Modify Start Values - uev alternative:
    # fit = garchFit( ~ garch(1,1), x, init.rec = "uev", trace = FALSE)
    # Error in .garchFit(formula.mean = args$formula.mean, formula.var = args$formula.var,  :
    #   Algorithm only supported for mci Recursion
    # coef(fit)

    # Return Value:
    return()
}


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