egarch_type_spec {fEGarch}R Documentation

Subspecification of EGARCH Family Models

Description

Two common subspecifications of the broad EGARCH family, namely for a EGARCH-type and a Log-GARCH-type model.

Usage

egarch_type_spec(
  orders = c(1, 1),
  long_memo = TRUE,
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald"),
  powers = c(1, 1),
  modulus = c(FALSE, FALSE)
)

loggarch_type_spec(
  orders = c(1, 1),
  long_memo = TRUE,
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)

Arguments

orders

a two-element numeric vector with the model orders; the first element is the order p for the term based on \ln\left(\sigma_t^2\right), i.e. the log-transformed conditional variance, while the second element is the order q for the innovation-based term (see Details below for more information).

long_memo

a logical value that indicates whether the long-memory version of the model should be considered or not.

cond_dist

a character value stating the underlying conditional distribution to consider; available are a normal distribution ("norm"), a t-distribution ("std"), a generalized error distribution ("ged"), an average Laplace distribution ("ald") and the skewed versions of them ("snorm", "sstd", "sged", "sald").

powers

a two-element numeric vector that states the exponents in the power-transformations of the asymmetry and the magnitude terms in that order (see Details for more information).

modulus

a two-element logical vector indicating if the innovations in the asymmetry and the magnitude terms (in that order) should use a modulus transformation (see Details for more information).

Details

These are wrappers for fEGarch_spec. egarch_type_spec() is when setting model_type in fEGarch_spec to eGARCH. loggarch_type_spec() is a shortcut when setting model_type = "loggarch". See fEGarch_spec for further details.

Value

An object of class "egarch_type_spec" or "loggarch_type_spec" is returned.


[Package fEGarch version 1.0.1 Index]