tvGarchKalmanPrint {tvGarchKF} | R Documentation |
Models tv-Garch Filter Kalman print outputs.
Description
This function is designed to print the outputs of the tv-Garch model, which include the returns, conditional variance, log-likelihood value, and mean squared error (MSE).
Usage
tvGarchKalmanPrint(
x,
series,
c,
alpha,
beta,
nsample = length(series),
type = c("polynomial", "NoLineal", "trigonometric"),
exponentes,
trig,
arg,
trace.log = FALSE,
predict
)
Arguments
x |
Vector of coefficents to fit. |
series |
Time series. |
c |
Vector containing coefficents of c. |
alpha |
Vector containing coefficents of alpha. |
beta |
Vector containing coefficents of beta. |
nsample |
Value of time series length. |
type |
Vector of function type for c, alpha and beta. |
exponentes |
Vector for exponenets in NoLineal. |
trig |
Type of trigonometric function. |
arg |
Value of argument for the trigonometric function. |
trace.log |
Variable to print names of coefficients. |
predict |
Value for time to generate predict. |
Value
A data frame containing the following columns:
-
X
: State vector of Kalman equations. -
Fm
: Value of MSE -
sigma
: Conditional variance. -
loglike
: Value of the loglike.
Examples
data(ipsa)
ipsa<-diff(log(indipsa))
c<-c(0.05,0.05)
alpha<-c(0.05,0.05)
beta<-c(0.05,0.05)
type_fit<-c("trigonometric","trigonometric","trigonometric")
fit<-tvGarchKalmanFit(ipsa,c=c,alpha=alpha,beta=beta,type=type_fit,trig="cos",arg="3*(1-log(u))")
arg_model<-"3*(1-log(u))"
model<-tvGarchKalmanPrint(fit,ipsa,c=c,alpha=alpha,beta=beta,type=type_fit,trig="cos",arg=arg_model)
plot(ipsa,ylab="",xlim=c(2000,2015))
lines(ts(model$sigma, star=2000, freq=225), col="red", lwd=2)
lines(ts(model$sigma*(-1), star=2000, freq=225), col="red", lwd=2)
[Package tvGarchKF version 0.0.1 Index]