Method for multiple filtering of a variety of univariate GARCH and ARFIMA models.
multifilter(multifitORspec, data = NULL, out.sample = 0, n.old = NULL,
rec.init = "all", cluster = NULL, ...)A uGARCHmultifilter object containing details of the multiple GARCH filter.
A ARFIMAmultifilter object containing details of the multiple ARFIMA filter.
Either a univariate GARCH or ARFIMA multiple fit object of class
uGARCHmultifit and ARFIMAmultifit, or
alternatively a univariate GARCH or ARFIMA multiple specification object of
class uGARCHmultispec and ARFIMAmultispec
with valid parameters supplied via the fixed.pars argument in the
individual specifications.
Required if a multiple specification rather than a multiple fit object is supplied. A multivariate data object. Can be a matrix or data.frame object, no other class supported at present.
A positive integer indicating the number of periods before the last to keep for
out of sample forecasting (as in ugarchfit function).
For comparison with uGARCHfit or ARFIMAfit models using the out.sample argument, this is the length of the original dataset (see details).
Recursion initialization method (as in ugarchfit function), valid
only for GARCH models, and can be a vector of length equal to the number of
assets being modelled.
A cluster object created by calling makeCluster from the parallel
package. If it is not NULL, then this will be used for parallel estimation.
.
Alexios Ghalanos