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:

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]