Two common subspecifications of the broad EGARCH family, namely for a EGARCH-type and a Log-GARCH-type model.
egarch_type_spec(
orders = c(1, 1),
long_memo = TRUE,
cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald"),
powers = c(1, 1),
modulus = c(FALSE, FALSE)
)loggarch_type_spec(
orders = c(1, 1),
long_memo = TRUE,
cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)
An object of class "egarch_type_spec" or
"loggarch_type_spec" is returned.
a two-element numeric vector with the model orders; the first element is the order \(p\) for the term based on \(\ln\left(\sigma_t^2\right)\), i.e. the log-transformed conditional variance, while the second element is the order \(q\) for the innovation-based term (see Details below for more information).
a logical value that indicates whether the long-memory version of the model should be considered or not.
a character value stating the underlying
conditional distribution to consider; available are a normal
distribution ("norm"), a \(t\)-distribution
("std"), a generalized error distribution
("ged"), an average Laplace distribution ("ald")
and the skewed versions of them
("snorm", "sstd", "sged", "sald").
a two-element numeric vector that states the exponents in the power-transformations of the asymmetry and the magnitude terms in that order (see Details for more information).
a two-element logical vector indicating if the innovations in the asymmetry and the magnitude terms (in that order) should use a modulus transformation (see Details for more information).
These are wrappers for fEGarch_spec.
egarch_type_spec() is when setting model_type in
fEGarch_spec to eGARCH.
loggarch_type_spec() is a shortcut when setting
model_type = "loggarch". See fEGarch_spec
for further details.