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 |
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 ( |
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.