dccspec-methods: function: DCC-GARCH Specification

Description Usage Arguments Details Value Author(s) Examples

Description

Method for creating a DCC-GARCH specification object prior to fitting.

Usage

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dccspec(uspec, VAR = FALSE, VAR.opt = list(robust = FALSE, lag = 1, lag.max = NULL, 
lag.criterion = c("AIC", "HQ", "SC", "FPE"), external.regressors = NULL, 
robust.control = list("gamma" = 0.25, "delta" = 0.01, "nc" = 10, "ns" = 500)), 
		dccOrder = c(1,1), distribution = c("mvnorm", "mvt", "mvlaplace"),
		start.pars = list(), fixed.pars = list())

Arguments

uspec

A uGARCHmultispec object created by calling ‘multispec’ on a list of univariate GARCH specifications.

VAR

Whether to fit a VAR model to the data.

VAR.opt

The VAR model options.

dccOrder

The DCC autoregressive order.

distribution

The multivariate distribution. Currently the multivariate Normal, Student and Laplace are implemented.

start.pars

(optional) Starting values for the DCC parameters (starting values for the univariate garch specification should be passed directly via the ‘uspec’ object).

fixed.pars

(optional) Fixed DCC parameters. This is required in the dccfilter, dccforecast, dccsim with spec, and dccroll methods.

Details

The ‘VAR.opt’ allows for a robust version of VAR based on the multivariate Least Trimmed Squares Estimator described in Croux and Joossens (2008). The ‘robust.control’ includes additional tuning parameters to the robust regression including the proportion to trim (“gamma”), the critical value for Reweighted estimator (“delta”), the number of subsets (“ns”) and the number of C-steps (“nc”).

Value

A DCCspec object containing details of the DCC-GARCH specification.

Author(s)

Alexios Ghalanos

Examples

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# same specification for all:
uspec = multispec( replicate(4, ugarchspec()) )
# different univariate specifications
uspec = multispec( c( ugarchspec(variance.model = list(model = "sGARCH")), 
ugarchspec(variance.model = list(model = "gjrGARCH")), ugarchspec(mean.model = list(armaOrder = c(2,1))) ) )
# pass uspec into dccspec
spec = dccspec(uspec, dccOrder = c(1,1))
spec

rgarch documentation built on May 2, 2019, 5:22 p.m.