rugarch (version 1.0-16)

multifit-methods: function: Univariate GARCH and ARFIMA Multiple Fitting

Description

Method for multiple fitting a variety of univariate GARCH and ARFIMA models.

Usage

multifit(multispec, data, out.sample = 0, solver = "solnp", solver.control = list(), 
fit.control = list(stationarity = 1, fixed.se = 0, scale = 0, rec.init = "all"), 
cluster = NULL, ...)

Arguments

multispec

A multiple GARCH or ARFIMA spec object of class uGARCHmultispec and ARFIMAmultispec.

out.sample

A positive integer indicating the number of periods before the last to keep for out of sample forecasting (see details).

data

A multivariate data object. Can be a matrix or data.frame object, no other class supported at present.

solver

One of either nlminb or solnp.

solver.control

Control arguments list passed to optimizer.

fit.control

Control arguments passed to the fitting routine. Stationarity (only for the GARCH case) explicitly imposes the variance stationarity constraint during optimization. The fixed.se argument controls whether standard errors should be calculated for thos

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.

...

.

Value

• A uGARCHmultifit or ARFIMAmultifit object containing details of the GARCH or ARFIMA fits.

Examples

data(dji30ret)
spec = ugarchspec()
mspec = multispec( replicate(spec, n = 4) )
fitlist = multifit(multispec = mspec, data = dji30ret[,1:4])