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