tvgarchObj: Auxiliary functions

Description

Auxiliary functions used in the estimation of the univariate and multivariate TV(s)-GARCH(p,q,r)-X model. Not intended for the average user.

Usage

tv(speed, location, xtv = NULL, n = NULL, opt = 0, 
  order.g = NULL, as.zoo = TRUE, verbose = FALSE)
  tvObj(par.g, fixed.par.g, xtv, opt, order.g, fixed.h, y, iter0, flag)
  garchObj(par.h, xreg, order.h, fixed.g, y, flag)
  tvgarchObj(par, fixed.par.g, y, order.g, xtv, opt, iter.fit.h, flag)

Value

The values of the objective function or fitted variance components.

Arguments

speed: NULL or numeric vector with the values of the speed coefficients.
location: NULL or numeric vector with the values of the location coefficients.
xtv: NULL or numeric vector, time series or zoo object to include as the transition variable in the TV component. If NULL, a continuous variable bounded between 0 and 1 for n observations is constructed and used as the transition variable.
n: integer indicating the number of observations of the continuous transition variable bounded between 0 and 1.
opt: integer, indicates whether the speed parameter in the TV component should be scaled. If 0, no scaling; if 1, speed/sd(xtv); if 2, exp(speed). For function tv(), the default is 0.
order.g: a scalar in tv() and an integer vector of length s in tvObj() indicating the number of locations in each transition function of the TV component. For function tv(), it defaults to NULL.
as.zoo: logical. If TRUE, then the returned result is of class zoo.
verbose: logical, if TRUE, the values of not only the logistic transition function but also the transition variable are returned.
par.g: numeric vector with the values of the parameters in the TV component. If iter0=TRUE, par.g takes the form c(intercept.g, size, speed, location); if iter0=FALSE, then par.g=c(speed,size, location) and the values of the fixed parameters are provided using fixed.par.g).
fixed.par.g: NULL or numeric vector with the values of the parameters fixed in the TV component, i.e., intercept.g.
par: NULL or numeric vector with the values of the parameters in the TV-GARCH-X model.
fixed.h: numeric vector, time series or zoo containing the values of GARCH-X component).
y: numeric vector, time series or zoo object.
iter0: logical. If FALSE, some parameters in the TV component are fixed during the iterative estimation.
flag: integer. If 0, returns a numeric vector with the values of the objective function; if 1 returns the the value of the objective function; if 2, returns the fitted variance components.
par.h: numeric vector with the values of the parameters in the GARCH-X component.
order.h: integer vector of the form c(p,q,r). The first entry controls the GARCH order, the second the ARCH order and the third the asymmetry order of the GARCH-X component.
xreg: numeric vector, times eries or zoo object to include as covariates in the GARCH-X component.
fixed.g: numeric vector, time series or zoo containing the values of TV component).
iter.fit.h: a list of class 'garchx'.

Author

Susana Campos-Martins

Description

Usage

Value

Arguments

Author

See Also