Usage
cgarchfilter(spec, data, out.sample = 0, filter.control = list(n.old = NULL),
spd.control = list(lower = 0.1, upper = 0.9, type = "pwm", kernel = "epanech"),
cluster = NULL, varcoef = NULL, realizedVol = NULL, ...)
Arguments
spec
A cGARCHspec object created by
calling cgarchspec with fixed parameters for the coeffficients. data
A multivariate xts data object or one which can be coerced to
such.
out.sample
A positive integer indicating the number of periods
before the last to keep for out of sample forecasting.
filter.control
Control arguments passed to the filtering routine (see
note below).
cluster
A cluster object created by calling makeCluster from
the parallel package. If it is not NULL, then this will be used for parallel
estimation (remember to stop the cluster on completion).
spd.control
If the spd transformation was chosen in the
specification, the spd.control passes its arguments to the
spdfit routine of the spd package.
varcoef
If a VAR model was chosen, then this is the VAR coefficient
matrix which must be supplied. No checks are done on its dimension or
correctness so it is up to the user to perform the appropriate checks.
realizedVol
Required xts matrix for the realGARCH model.