submodel-specs {fEGarch}R Documentation

EGARCH Family Submodel Specification

Description

Wrappers of fEGarch_spec() that create specifications of specific submodels of the broad EGARCH family.

Usage

megarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)

fimegarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)

egarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)

fiegarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)

mloggarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)

fimloggarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)

loggarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)

filoggarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)

Arguments

orders

a two-element numeric vector with the model orders.

cond_dist

a character value stating the underlying conditional distribution to consider; available are a normal distribution ("norm"), a t-distribution ("std"), a generalized error distribution ("ged"), an average Laplace distribution ("ald") and the skewed versions of them ("snorm", "sstd", "sged", "sald").

Details

Available are shortcut specification functions for EGARCH egarch_spec(), FIEGARCH fiegarch_spec(), MEGARCH megarch_spec(), Log-GARCH loggarch_spec(), FILog-GARCH filoggarch_spec(), MLog-GARCH mloggarch_spec(), FIMEGARCH fimegarch_spec() and FIMLog-GARCH fimloggarch_spec().

The following descriptions are following the descriptions in the documentation of the more general fEGarch_spec(). Please go there first to understand the following descriptions on the arguments of fEGarch_spec() to obtain these wrappers.

\textbf{EGARCH:}

model_type = "egarch", long_memo = FALSE, powers = c(1, 1), modulus = c(FALSE, FALSE)

\textbf{FIEGARCH:}

model_type = "egarch", long_memo = TRUE, powers = c(1, 1), modulus = c(FALSE, FALSE)

\textbf{MEGARCH:}

model_type = "egarch", long_memo = FALSE, powers = c(0, 1), modulus = c(TRUE, FALSE)

\textbf{Log-GARCH:}

model_type = "loggarch", long_memo = FALSE

\textbf{FILog-GARCH:}

model_type = "loggarch", long_memo = TRUE

\textbf{MLog-GARCH:}

model_type = "egarch", long_memo = FALSE, powers = c(0, 0), modulus = c(TRUE, TRUE)

\textbf{FIMLog-GARCH:}

model_type = "egarch", long_memo = TRUE, powers = c(0, 0), modulus = c(TRUE, TRUE)

\textbf{FIMEGARCH:}

model_type = "egarch", long_memo = TRUE, powers = c(0, 1), modulus = c(TRUE, FALSE)

Value

Depending on the spec-fun function, either an object of class "egarch-type-spec" or "loggarch-type-spec" is returned.

Examples

spec <- megarch_spec(cond_dist = "std")


[Package fEGarch version 1.0.1 Index]