Specify a GARCH model.
Usage
GarchModel(model = list(), ..., model.class = NULL)Arguments
- model
a GARCH model or a list.
- ...
named arguments specifying the GARCH model.
- model.class
a class for the result. By default
GarchModel()decides the class of the result.
Details
Argument model can be the result of a previous call to GarchModel.
Arguments in "..." overwrite current components of model.
GarchModel guarantees that code using it will continue to work
transparently for the user even if the internal represedtation of GARCH
models in this package is changed or additional functionality is added.
Examples
## GARCH(1,1) with Gaussian innovations
mo1a <- GarchModel(omega = 1, alpha = 0.3, beta = 0.5)
mo1b <- GarchModel(omega = 1, alpha = 0.3, beta = 0.5, cond.dist = "norm")
## equivalently, the parameters can be given as a list
p1 <- list(omega = 1, alpha = 0.3, beta = 0.5)
mo1a_alt <- GarchModel(p1)
mo1b_alt <- GarchModel(p1, cond.dist = "norm")
stopifnot(identical(mo1a, mo1a_alt), identical(mo1b, mo1b_alt))
## additional arguments modify values already in 'model'
mo_alt <- GarchModel(p1, beta = 0.4)
## set also initial values
mo2 <- GarchModel(omega = 1, alpha = 0.3, beta = 0.5, esp0 = - 1.5, h0 = 4.96)
## GARCH(1,1) with standardised-t_5
mot <- GarchModel(omega = 1, alpha = 0.3, beta = 0.5, cond.dist = list("std", nu = 5))