rugarch (version 1.5-1)

multispec-methods: function: Univariate multiple GARCH Specification

Description

Method for creating a univariate multiple GARCH or ARFIMA specification object prior to fitting.

Usage

multispec( speclist )

Value

A uGARCHmultispec or ARFIMAmultispec

object containing details of the multiple GARCH or ARFIMA specifications.

Arguments

speclist

A list with as many univariate GARCH or ARFIMA specifications of class uGARCHspec and ARFIMAspec as there will be columns in the data object passed to one of the other methods which uses a multiple specification object (fitting, filtering and forecasting).

Author

Alexios Ghalanos

Examples

# how to make a list with 2 uGARCHspec objects of the same type
spec = ugarchspec()
mspec = multispec( replicate(2, spec) )
# note that replicate(spec, 2) does not work...be careful about the order 
# else explicity name 'n' (i.e. n = 2)

# or simply combine disparate objects
spec1 = ugarchspec(distribution = "norm")
spec2 = ugarchspec(distribution = "std")
mspec = multispec( c( spec1, spec2 ) )