Method for creating a GO-GARCH specification object prior to fitting.
gogarchspec(mean.model = list(model = c("constant", "AR", "VAR"), robust = FALSE,
lag = 1, lag.max = NULL, lag.criterion = c("AIC", "HQ", "SC", "FPE"),
external.regressors = NULL,
robust.control = list("gamma" = 0.25, "delta" = 0.01, "nc" = 10, "ns" = 500)),
variance.model = list(model = "sGARCH", garchOrder = c(1,1), submodel = NULL,
variance.targeting = FALSE), distribution.model = c("mvnorm", "manig", "magh"),
ica = c("fastica", "radical"),
ica.fix = list(A = NULL, K = NULL), ...)The mean specification. Allows for either a constant filtration of the return series, a univariate AR for each series with common lag (via the “lag” argument) else a classical or robust Vector Autoregressive Model (VAR). The ‘robust’ option allows for a robust version of VAR based on the multivariate Least Trimmed Squares Estimator described in Croux and Joossens (2008). The ‘robust.control’ includes additional tuning parameters to the robust regression including the proportion to trim (“gamma”), the critical value for Reweighted estimator (“delta”), the number of subsets (“ns”) and the number of C-steps (“nc”). The external.regressors argument allows for a matrix of common external regressors in the constant, AR or VAR formulations.
The univariate variance specification for the independent factors of the GO-GARCH model.
The distributions supported are the multivariate normal (“mvnorm”) and the multivariate affine NIG (“manig”) and GHYP (“magh”) distributions of Schmidt et al (see references).
The algorithm to use for extracting the independent components.
The fastica and radical algorithms are the only
ICA algorithms currently allowed and locally implemented. See their
documentation for a list of additional arguments possible, which may be passed
in the gogarchfit method.
This allows the option of supplying the mixing matrix (A) and optionally the whitening Matrix (K). This is likely to be use when comparing different models (with the same mean filtration and dataset but different variance models) and you wish to use the same independent factors.
.
A '>goGARCHspec object containing details of the GO-GARCH
specification.