GAS (version 0.1.1)

MultiGASFit: Estimate multivariate GAS models

Description

Estimate multivariate GAS models by Maximum Likelihood.

Usage

MultiGASFit(GASSpec,data)

Arguments

GASSpec

An object of the class mGASSpec created using the function MultiGASSpec

data

matrix (or something coercible to that using as.matrix()) of dimension TxN containing the multivariate time series of observations. It can also be an object of the class ts, xts or zoo.

Value

An object of the class mGASFit

Details

The function prints some information during the estimation procedure.

References

Creal, D., Koopman, S. J., & Lucas, A. (2013). Generalized autoregressive score models with applications. Journal of Applied Econometrics, 28(5), 777-795.

Harvey, A. C. (2013). Dynamic models for volatility and heavy tails: with applications to financial and economic time series (Vol. 52). Cambridge University Press.

Examples

## Not run: 
# # Specify an GAS model with multivariate Student-t
# # conditional distribution and time-varying scales and correlations
# 
# library(GAS)
# 
# data("StockIndices")
# 
# GASSpec = MultiGASSpec(Dist = "mvt", ScalingType = "Identity",
#                        GASPar = list(scale = TRUE, correlation = TRUE))
# 
# Fit = MultiGASFit(GASSpec, StockIndices)
# 
# Fit
# 
# ## End(Not run)