Displaying 5 results from an estimated 5 matches for "multispec".
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2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...0.0000
> garch11.spec = ugarchspec(mean.model = list(armaOrder = c(1,1)),
variance.model = list(garchOrder = c(1,1),
model = "sGARCH"),
distribution.model = "norm")
> dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec)
),
dccOrder = c(1,1), distribution = "mvnorm")
> fit.a = dccfit(dcc.garch11.spec, data = datax[,c(2,3)], out.sample = 500,
fit.control = list(eval.se=T))
> dcc.focast=dccforecast(fit.a, n.ahead = 1, n.roll =...
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...0.0000
> garch11.spec = ugarchspec(mean.model = list(armaOrder = c(1,1)),
variance.model = list(garchOrder = c(1,1),
model = "sGARCH"),
distribution.model = "norm")
> dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec)
),
dccOrder = c(1,1), distribution = "mvnorm")
> fit.a = dccfit(dcc.garch11.spec, data = datax[,c(2,3)], out.sample = 100,
fit.control = list(eval.se=T))
> dcc.focast=dccforecast(fit.a, n.ahead = 100)
May I...
2018 May 22
0
DCC model simulation in R
...ion in this purpose.
The simulation code what I describe above is as follows:
# first specify univariate egarch model
uspec<-ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1,1)),
distribution.model="norm",mean.model=list(armaOrder=c(0,0),include.mean=F))
model=multispec(replicate(2,uspec)) # replicate for two series
# specify ADCC model
mvspec=dccspec(model,dccOrder = c(1,1),model = "aDCC",distribution =
"mvnorm")
# cluster
cl= makePSOCKcluster(2)
multf = multifit(model, Data, cluster = cl)
fitADCC=dccfit(mvspec,data = Data, f...
2018 Mar 18
0
Wine release 2.0.5
...Gamepad connected via Bluetooth
36517 SlovoEB 2.1 (.NET 4.0 app) crashes on startup (unsupported WICPixelFormat32bppGrayFloat)
37336 U-blox U-Center 8.11 crashes when importing or exporting config file
38334 SpinTires crashes with unimplemented function d3dx9_36.dll.D3DXFrameFind
40832 MultiSpec 2.8.2016 32-Bit: Installs fine but crashes while opening any images
40866 DigitalMicrograph: crashes when a new script is added to the menu
40963 Upwards, lonely robot Demo crashes with Too many buffers queued
41209 The Magic School Bus Explores the Solar System: Error message asking for t...
2017 Dec 08
0
Wine release 3.0-rc1
...----------------------------------------------
Bugs fixed in 3.0-rc1 (total 28):
30899 SlingPlayer 1.5 UI broken
34328 World of Tanks: Purple graphics errors
40714 process_attach is executed too early for forwarded exports (Oblivon Script Extender cannot load under wine-staging)
40832 MultiSpec 2.8.2016 32-Bit: Installs fine but crashes while opening any images
40866 DigitalMicrograph: crashes when a new script is added to the menu
40963 Upwards, lonely robot Demo crashes with Too many buffers queued
41269 MSI uninstaller does not clean up Registry's UpgradeCode, ProductCode...