GARCHX {GARCH.X}R Documentation

Fitting GARCHX model for variable selection

Description

Fits a GARCHX model with given data and estimates the coefficients for omega, alpha, beta, and pi

Usage

GARCHX(
  eps,
  X,
  order = c(1, 1),
  delta = 2,
  optim.method = "NR"
)

Arguments

eps

Time series

X

Matrix with exogenous covariates where the number of rows is equal to the length of eps

order

Order of the GARCH model. Value of p cannot be 0

delta

Value of the power of the main time series to allow for Power GARCHX, default is 2 for GARCHX

optim.method

Optimization method for maximizing quasi-likelihood function. Options: "NR", "L-BFGS-B", "GA", "PS", "SA". Default value is "NR"

Details

Uses the GARCHX model

\mathcal{E}_t = \sigma_tw_t

\sigma^2_t = \omega_0 + \sum^{p}_{i=1}\alpha_i\mathcal{E}_{t-i}^2 + \sum^q_{j=1}\beta_j\sigma^2_{t-j}+\mathbf{\pi}^T\mathbf{x}_{t-1}

To estimate the coefficients for

\omega, \alpha, \beta, \pi

. No variable selection is done in this function.

Value

An object of class GARCHX


[Package GARCH.X version 1.0 Index]