inst/unitTests/runit.garchSpec.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:               SPECIFICATION: 
#  'garchSpec'             S4: garchSpec Class representation 
#  garchSpec               S4: Creates a 'garchSpec' object from scratch
#  show.garchSpec          S4: Print method for an object of class 'garchSpec'
################################################################################


test.garchSpec = 
function()
{   
    # ARCH(1) - use default omega and default alpha[1]
    garchSpec(model = list())
    
    # ARCH(1) - use default omega and specify alpha
    garchSpec(model = list(alpha = 0.2))
    
    # ARCH(1) - specify omega and alpha
    garchSpec(model = list(omega = 3.0e-6, alpha = 0.3))
    
    # AR(1)-ARCH(1) - use default omega/alpha and specify alpha[1]
    garchSpec(model = list(ar = 0.5))
    
    # AR([1,5])-ARCH(1) - use default omega, specify alpha and subset ar[.]
    garchSpec(model = list(ar = c(0.5,0,0,0,0.1), alpha = 0.25))
    
    # ARMA(1,2)-ARCH(1) - use default omega/alpha and specify ar[1]/ma[2]
    garchSpec(model = list(ar = 0.5, ma = c(0.3, -0.3)))
    
    # ARMA(2,2)-ARCH(1) use default omega/alpha and specify ar[2]/ma[2]
    garchSpec(model = list(ar = c(0.5, -0.5), ma = c(0.3,-0.3)))
    
    # ARCH(2) - use default omega and specify alpha[2]
    garchSpec(model = list(alpha = c(0.12, 0.04)))
    
    # GARCH(1,1) - use just defaults
    garchSpec()
    
    # GARCH(1,1) - use default omega and specify alpha/beta
    garchSpec(model = list(alpha = 0.2, beta = 0.7))
    
    # GARCH(1,1) - specify omega/alpha/beta
    garchSpec(model = list(omega = 1e-6, alpha = 0.1, beta = 0.8))
    
    # GARCH(1,2) - use default omega and specify alpha[1]/beta[2]
    garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
    
    # GARCH(2,1) - use default omega and specify alpha[2]/beta[1]
    garchSpec(model = list(alpha = c(0.12, 0.04), beta = 0.08))
    
    # rsnorm-ARCH(1) - use defaults with skew Normal
    garchSpec(model = list(dist = 2), cond.dist = "snorm")
    
    # rged-ARCH(1) using default omega and alpha[1]
    garchSpec(model = list(dist = 4), cond.dist = "ged")
    
    # rsged-ARCH(1) using default omega and alpha[1]
    garchSpec(model = list(dist = c(4, 2)), cond.dist = "sged")
    
    # rstd-ARCH(1) using default omega and alpha[1]
    garchSpec(model = list(dist = 4), cond.dist = "std")
    
    # rsstd-ARCH(1) using default omega and alpha[1]
    garchSpec(model = list(dist = c(4, 2)), cond.dist = "sstd")
    
    # TS-GARCH(1,1)
    garchSpec(model = list(delta = 1))
    
    # AR(1)-t-APARCH(2, 1)
    garchSpec(model = list(mu = 1.0e-4, ar = 0.5, omega = 1.0e-6, 
        alpha = c(0.10, 0.05), gamma = c(0, 0), beta = 0.8, delta = 1.8, 
        dist = c(nu = 4, xi = 0.5)), cond.dist = "sstd")
        
    # Return Value:
    return() 
}


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