tegarch.recursion: Recursion of the one-component Beta-skew-t-EGARCH model

Description

Auxiliary function used by tegarch.logl and tegarch.fit to compute the lambda series. Not intended for the average user.

Usage

tegarch.recursion(y, omega = 0.1, phi1 = 0.4, kappa1 = 0.2, kappastar = 0.1,
  df = 10, skew = 0.6, lambda.initial = NULL, c.code = TRUE, verbose = FALSE,
  aux = NULL)

Arguments

numeric vector, typically a financial return series or the error of a regression.

omega

numeric, the value of omega

phi1

numeric, the value of phi1

kappa1

numeric, the value of kappa1

kappastar

numeric, the value of kappastar

numeric, the value of df (degrees of freedom)

skew

numeric, the value of skew (skewness parameter)

lambda.initial

NULL (default) or initial value(s) of the recursion for lambda. If NULL, then the values are chosen automatically.

c.code

logical, TRUE (default) or FALSE. TRUE is faster since it makes use of compiled C-code.

verbose

logical, TRUE or FALSE (default). If FALSE, then only lambda is returned. If TRUE, then a matrix with y and the fitted values of, amongst other, sigma, the log-scale (lambda), the conditional standard deviation (stdev), u, epsilon and the standardised res

aux

NULL (default) or a list, se code.

Value

A numeric vector containing the lambda values if verbose=FALSE (default). If verbose=TRUE, then a matrix then a matrix with y and the fitted values of sigma, the log-scale (lambda), the conditional standard deviation (stdev), u, epsilon and the standardised residuals (residstd) are returned.

Details

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References