Displaying 3 results from an estimated 3 matches for "uspec".
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usec
2018 May 22
0
DCC model simulation in R
...) argument. I am not sure
whether this dccsim function actually does what I intend to do. Therefore,
I would like to have your helpful suggestion regarding the use of dccsim
function 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),mod...
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...0.000 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 =...
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...0.000 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 =...