gogarchfilter-methods: function: GO-GARCH Fitting

In rgarch: Flexible GARCH modelling in R

Description

Method for fitting the GO-GARCH model.

Usage

gogarchfilter(fit, data, out.sample = 0, n.old = NULL, parallel = FALSE, 
parallel.control = list(pkg = c("multicore", "snowfall"), cores = 2), ...) 

Arguments

fit	A GO-GARCH fit object of class goGARCHfit.
data	A multivariate data object. Can be a matrix or data.frame or timeSeries.
out.sample	A positive integer indicating the number of periods before the last to keep for out of sample forecasting.
n.old	For comparison with goGARCHfit models using the out.sample argument, this is the length of the original dataset.
parallel	Whether to make use of parallel processing on multicore systems.
parallel.control	The parallel control options including the type of package for performing the parallel calculations (‘multicore’ for non-windows O/S and ‘snowfall’ for all O/S), and the number of cores to make use of.
...	.

Value

A goGARCHfilter object containing details of the GO-GARCH filter.

Author(s)

Alexios Ghalanos

Examples

## Not run: 
data(dji30ret)
spec = gogarchspec()
fit = gogarchfit(spec = spec, data = dji30ret[,1:4], gfun = "tanh")
filter = gogarchfilter(fit, data = dji30ret[,1:4])

## End(Not run)

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