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 ( |
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")