Usage
cgarchfit(spec, data, spd.control = list(lower = 0.1, upper = 0.9, type = "pwm",
kernel = "epanech"), fit.control = list(eval.se = TRUE, stationarity = TRUE,
scale = FALSE), solver = "solnp", solver.control = list(), out.sample = 0,
cluster = NULL, fit = NULL, VAR.fit = NULL, realizedVol = NULL,...)
Arguments
spec
A cGARCHspec A cGARCHspec
object created by calling cgarchspec. 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.
solver
Either nlminb, solnp, gosolnp or
lbfgs. It can also optionally be a vector of length 2 with the first
solver being used for the first stage univariate GARCH estimation (in which
solver.control
Control arguments list passed to optimizer.
fit.control
Control arguments passed to the fitting routine.
The eval.se option determines whether standard errors are calculated
(see details below). The scale option is for the first stage
univariate GARCH fitting routine.
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).
fit
(optional) A previously estimated univariate
uGARCHmultifit object (see details).
VAR.fit
(optional) A previously estimated VAR list returned from
calling the varxfit function. 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.
realizedVol
Required xts matrix for the realGARCH model.