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#################################################################################
##
## R package rgarch by Alexios Ghalanos Copyright (C) 2008, 2009, 2010, 2011
## This file is part of the R package rgarch.
##
## The R package rgarch is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## The R package rgarch is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
#################################################################################
.dccstart = function(data, garchenv)
{
# extract required sets
omodel = get("omodel", garchenv)
start.pars = omodel$start.pars
opt.pars = omodel$opt.pars
fixed.pars = omodel$fixed.pars
pos = omodel$pos.matrix
opt.names = names(opt.pars)
fixed.names = names(fixed.pars)
start.names = names(start.pars)
mspec = get("mspec", garchenv)
dccp = mspec$dccOrder[1]
dccq = mspec$dccOrder[2]
pars = opt.pars
LB = rep(0, length(opt.pars))
UB = rep(0, length(opt.pars))
names(LB) = names(UB) = opt.names
if(pos[1,3]){
gpnames = paste("dcca", 1:dccp, sep = "")
LB[gpnames] = 0
UB[gpnames] = 0.9998
pars[gpnames] = rep(0.05/dccp, dccp)
if(any(substr(start.names, 1, 4) == "dcca")){
j = which(substr(start.names, 1, 4) == "dcca")
gpmatch = charmatch(start.names[j], gpnames)
pars[gpnames[gpmatch]] = as.numeric(start.pars[j])
}
if(any(substr(fixed.names, 1, 4) == "dcca")){
j = which(substr(fixed.names, 1, 4) == "dcca")
gpmatch = charmatch(fixed.names[j], gpnames)
pars[gpnames[gpmatch]] = as.numeric(fixed.pars[j])
LB[gpnames[gpmatch]] = as.numeric(fixed.pars[j])
UB[gpnames[gpmatch]] = as.numeric(fixed.pars[j])
}
}
if(pos[2,3]){
gpnames = paste("dccb", 1:dccq, sep = "")
LB[gpnames] = 0
UB[gpnames] = 0.9998
pars[gpnames] = rep(0.9/dccq, dccq)
if(any(substr(start.names, 1, 4) == "dccb")){
j = which(substr(start.names, 1, 4) == "dccb")
gpmatch = charmatch(start.names[j], gpnames)
pars[gpnames[gpmatch]] = as.numeric(start.pars[j])
}
if(any(substr(fixed.names, 1, 4) == "dccb")){
j = which(substr(fixed.names, 1, 4) == "dccb")
gpmatch = charmatch(fixed.names[j], gpnames)
pars[gpnames[gpmatch]] = as.numeric(fixed.pars[j])
LB[gpnames[gpmatch]] = as.numeric(fixed.pars[j])
UB[gpnames[gpmatch]] = as.numeric(fixed.pars[j])
}
}
dbounds = .mDistributionBounds(distribution = mspec$distribution)
# skew
if(pos[3,3]){
LB["skew"] = dbounds$skew.LB
UB["skew"] = dbounds$skew.UB
if(is.null(start.pars$skew)) pars["skew"] = dbounds$skew else pars["skew"] = start.pars$skew[1]
if(any(substr(fixed.names, 1, 4) == "skew")){
pars["skew"] = as.numeric(fixed.pars$skew)
LB["skew"] = fixed.pars$skew
UB["skew"] = fixed.pars$skew
}
}
# shape
if(pos[4,3]){
if(is.null(start.pars$shape)) pars["shape"] = dbounds$shape else pars["shape"] = start.pars$shape[1]
LB["shape"] = dbounds$shape.LB
UB["shape"] = dbounds$shape.UB
if(any(substr(fixed.names, 1, 5) == "shape")){
pars["shape"] = as.numeric(fixed.pars$shape)
LB["shape"] = fixed.pars$shape
UB["shape"] = fixed.pars$shape
}
}
modelLB = LB
modelUB = UB
return(list(pars = pars, modelLB = modelLB, modelUB = modelUB))
}
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