Method for creating a Copula-GARCH filter object.
cgarchfilter(spec, data, out.sample = 0, filter.control = list(n.old = NULL),
spd.control = list(lower = 0.1, upper = 0.9, type = "pwm", kernel = "epanech"),
cluster = NULL, varcoef = NULL, realizedVol = NULL, ...)A '>cGARCHspec object created by
calling cgarchspec with fixed parameters for the coeffficients.
A multivariate xts data object or one which can be coerced to such.
A positive integer indicating the number of periods before the last to keep for out of sample forecasting.
Control arguments passed to the filtering routine (see note below).
A cluster object created by calling makeCluster from
the parallel package. If it is not NULL, then this will be used for parallel
estimation (remember to stop the cluster on completion).
If the spd transformation was chosen in the
specification, the spd.control passes its arguments to the
spdfit routine of the spd package.
If a VAR model was chosen, then this is the VAR coefficient matrix which must be supplied. No checks are done on its dimension or correctness so it is up to the user to perform the appropriate checks.
Required xts matrix for the realGARCH model.
.
A '>cGARCHfilter object containing details of the
Copula-GARCH filter and sharing most of the methods of the
'>cGARCHfit class.