fEGarch (version 1.0.6)

submodel-specs: EGARCH Family Submodel Specification

Description

Wrappers of fEGarch_spec() that create specifications of specific submodels of the broad EGARCH family.

Usage

megarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)
fimegarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)
egarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)
fiegarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)
mloggarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)
fimloggarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)
loggarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)
filoggarch_spec(
  orders = c(1, 1),
  cond_dist = c("norm", "std", "ged", "ald", "snorm", "sstd", "sged", "sald")
)

Value

Depending on the spec-fun function, either an object of class "egarch-type-spec" or "loggarch-type-spec" is returned.

Arguments

orders

a two-element numeric vector with the model orders.

cond_dist

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").

Details

Available are shortcut specification functions for EGARCH egarch_spec(), FIEGARCH fiegarch_spec(), MEGARCH megarch_spec(), Log-GARCH loggarch_spec(), FILog-GARCH filoggarch_spec(), MLog-GARCH mloggarch_spec(), FIMEGARCH fimegarch_spec() and FIMLog-GARCH fimloggarch_spec().

The following descriptions are following the descriptions in the documentation of the more general fEGarch_spec(). Please go there first to understand the following descriptions on the arguments of fEGarch_spec() to obtain these wrappers.

\(\textbf{EGARCH:}\)

model_type = "egarch", long_memo = FALSE, powers = c(1, 1), modulus = c(FALSE, FALSE)

\(\textbf{FIEGARCH:}\)

model_type = "egarch", long_memo = TRUE, powers = c(1, 1), modulus = c(FALSE, FALSE)

\(\textbf{MEGARCH:}\)

model_type = "egarch", long_memo = FALSE, powers = c(0, 1), modulus = c(TRUE, FALSE)

\(\textbf{Log-GARCH:}\)

model_type = "loggarch", long_memo = FALSE

\(\textbf{FILog-GARCH:}\)

model_type = "loggarch", long_memo = TRUE

\(\textbf{MLog-GARCH:}\)

model_type = "egarch", long_memo = FALSE, powers = c(0, 0), modulus = c(TRUE, TRUE)

\(\textbf{FIMLog-GARCH:}\)

model_type = "egarch", long_memo = TRUE, powers = c(0, 0), modulus = c(TRUE, TRUE)

\(\textbf{FIMEGARCH:}\)

model_type = "egarch", long_memo = TRUE, powers = c(0, 1), modulus = c(TRUE, FALSE)

Examples

spec <- megarch_spec(cond_dist = "std")