racd-package: The racd package
In racd: Autoregressive Conditional Density Models

Description Details How to cite this package License Author(s) References

The racd package provides a set of methods for estimating, filtering, forecasting and simulating Autoregressive Conditional Density (ACD) models. These are effectively extensions of the GARCH models but allow for time variation in the conditional skew and shape parameters of the distribution. Because of the transformations required to restrict these parameters within their distribution specific bounds, and the fact that skewness and kurtosis are driven by extreme events making their identification with a particular law of motion difficult, the optimization of these models is particularly hard. The racd package provides for a number of different dynamics for the skew and shape parameters, and a number of different solvers and approaches to solving such problems and described in more details in the package's vignette. The multivariate independent factor ACD model (IFACD) of Ghalanos et al (2014) is also included along with methods similar to those of the GO-GARCH model in the rmgarch package.

Package:	racd
Type:	Package
Version:	1.0-3
Date:	2014-02-23
License:	GPL
LazyLoad:	yes
Depends:	methods, rugarch
Imports:	xts, Rsolnp, ucminf, numDeriv, zoo, parma, Matrix

The racd package builds on the rugarch package and imports many of the methods used there. In terms of GARCH models, only the simple GARCH (sGARCH) and component GARCH (csGARCH) and multiplicative component GARCH (mcsGARCH) are used, and this is because of the variation in the conditional skew and shape parameters of the distributions which makes the calculation of persistence and the use of variance targeting near impossible except for these models.

Whenever using this package, please cite as

@Manual{Ghalanos_2013,
 author       = {Alexios Ghalanos},
 title        = {{racd}: Autoregressive Conditional Density Models.},
 year         = {2014},
 note 	      = {R package version 1.0-3.},}

The releases of this package is licensed under GPL version 3.

Alexios Ghalanos

Hansen, B. E. 1994, Autoregressive conditional density estimation, International Economic Review, 35(3), 705–730.
Ghalanos, A., Rossi E., and Urga G. 2013, Independent Factor Autoregressive Conditional Density Model, Econometric Reviews, forthcoming.

racd documentation built on May 2, 2019, 4:47 p.m.