Usage
fmoments(spec, Data, n.ahead = 1, roll = 0, solver = "solnp",
solver.control = list(), fit.control = list(eval.se = FALSE),
cluster = NULL, save.output = FALSE, save.dir = getwd(),
save.name = paste("M", sample(1:1000, 1), sep = ""), ...)Arguments
Data
An n-by-m data matrix or data.frame.
spec
Either a DCCspec or GOGARCHspec.
n.ahead
The n.ahead forecasts (n.ahead>1 is unconditional).
roll
Whether to fit the data using (n - roll) periods and then
return a (roll+1) n-ahead rolling forecast moments.
solver
The choice of solver to use for all models but var,
and includes solnp, nlminb and nloptr.
solver.control
Optional control options passed to the appropriate solver
chosen.
fit.control
Control arguments passed to the 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 of the refits (remember to stop the cluster on completion).
save.output
Whether output should be saved to file instead of being
returned to the workspace.
save.dir
The directory to save output if save.output is TRUE.
save.name
The name of the file to save the output list.
...
Additional parameters passed to the model fitting routines. In
particular, for the gogarch model additional parameters are passed to
the ICA routines, whereas for the dcc and cgarch models
this would