rugarch (version 1.2-2)

arfimaspec-methods: function: ARFIMA Specification

Description

Method for creating an ARFIMA specification object prior to fitting.

Usage

arfimaspec(mean.model = list(armaOrder = c(1, 1), include.mean = TRUE, 
    arfima = FALSE, external.regressors = NULL), distribution.model = "norm", 
    start.pars = list(), fixed.pars = list(), ...)

Arguments

mean.model

List containing the mean model specification: armaOrder The autoregressive (ar) and moving average (ma) orders (if any). include.mean Whether to include the mean. arfima Whether to include arfima (0ext

distribution.model

The distribution density to use for the innovations. Valid choices are norm for the normal distibution, snorm for the skew-normal distribution, std for the student-t, sstd for the

start.pars

List of staring parameters for the optimization routine. These are not usually required unless the optimization has problems converging.

fixed.pars

List of parameters which are to be kept fixed during the optimization. It is possible that you designate all parameters as fixed so as to quickly recover just the results of some previous work or published work. The optional argument fi

...

.

Value

• A ARFIMAspec object containing details of the ARFIMA specification.

Details

The specification allows for flexibility in ARFIMA modelling. In order to understand which parameters can be entered in the start.pars and fixed.pars optional arguments, the list below exposes the names used for the parameters:(note that when a parameter is followed by a number, this represents the order of the model. Just increment the number for higher orders): Mean Model: rll{ constant mu AR term ar1 MA term ma1 exogenous regressors mxreg1 arfima arfima } Distribution Model: rll{ dlambda dlambda (for GHYP distribution) skew skew shape shape }