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GAS (version 0.1.1)

UniGASFit: Estimate univariate GAS models

Description

Estimate univariate GAS models by Maximum Likelihood.

Usage

UniGASFit(GASSpec,data)

Arguments

GASSpec
An object of the class uGASSpec created using the function UniGASSpec
data
numeric vector of length Tx1 containing the time series of observations. It can also be an object of the class ts, xts or zoo.

Value

An object of the class uGASFit

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

Run this code
## Not run: 
# # Specify an univariate GAS model with Student-t
# # conditional distribution and time-varying scale.
# library(GAS)
# 
# data("sp500ret")
# 
# GASSpec = UniGASSpec(Dist = "std", ScalingType = "Identity",
#                      GASPar = list(location = FALSE, scale = TRUE,
#                                    shape = FALSE))
# 
# Fit = UniGASFit(GASSpec, sp500ret)
# 
# Fit
# 
# ## End(Not run)

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