Usage
fscenario(Data, sim = 1000, roll = 0,
model = c("gogarch", "dcc", "cgarch", "var", "mdist"),
spec = NULL,
var.model = list(lag = 1, lag.max = NULL,
lag.criterion = c("AIC", "HQ", "SC", "FPE"),
robust = FALSE, robust.control = list("gamma" = 0.25,
"delta" = 0.01, "nc" = 10, "ns" = 500)),
mdist.model = list(distribution = c("mvn", "mvt", "manig"),
AR = TRUE, lag = 1),
spd.control = list(lower = 0.1, upper = 0.9, type = "pwm",
kernel = "epanech"),
cov.method = c("ML", "LW", "EWMA", "MVE", "MCD", "MVT", "BS"),
cov.options = list(shrinkage=-1, lambda = 0.96),
solver = "solnp", solver.control = list(),
fit.control = list(eval.se = FALSE),
cluster = NULL, save.output = FALSE, save.dir = getwd(),
save.name = paste("S", sample(1:1000, 1), sep = ""), rseed = NULL, ...)Arguments
Data
An n-by-m data matrix or data.frame.
sim
The size of the simulated 1-ahead forecast.
roll
Whether to fit the data using (n - roll) periods and then
return a (roll+1) 1-ahead rolling simulated scenarios.
model
A choice of 5 models for generating scenarios.
spec
Required if choosing gogarch, dcc or cgarch,
in which case this represents a specification object (see rmgarch package) .
var.model
Required if model is var.
mdist.model
Required if model is mdist, and provides details for the model
estimation (not yet implemented).
spd.control
Required if model is cgarch and transformation is spd.
cov.method
For model var this represents the choice of
covariance matrix to use to generate random deviates.
cov.options
For model var this provides the optional parameters
to certain types of covariance estimation methods.
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.
rseed
A vector of length sim to initiate the random number generator.
...
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