newsimpact

newsimpact.tsgarch.estimate

General method the news impact of a model

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

Alexios Ghalanos

tsgarch

Univariate GARCH Models

Alexios Galanos

newsimpact function

<dl><dt>object</dt>
<dd>an object of class &#8220;tsgarch.estimate&#8221;.</dd>
<dt>epsilon</dt>
<dd>a user supplied zero mean noise vector. If this is NULL
then a vector is created from the actual data using the minimum and maximum
range.</dd>
<dt>...</dt>
<dd>additional parameters passed to the method.</dd></dl>

Arguments

News Impact Curve — newsimpact

<dl>

<dt>object</dt>
<dd>an object of class &#8220;tsgarch.estimate&#8221;.</dd>


<dt>epsilon</dt>
<dd>a user supplied zero mean noise vector. If this is NULL
then a vector is created from the actual data using the minimum and maximum
range.</dd>


<dt>...</dt>
<dd>additional parameters passed to the method.</dd>

</dl>

newsimpact: News Impact Curve

Description

Usage

Value

Arguments