[Uwgarp-commits] r57 - pkg/GARPFRM/sandbox

[noreply at r-forge.r-project.org]

Author: kecoli
Date: 2014-02-02 07:15:23 +0100 (Sun, 02 Feb 2014)
New Revision: 57

Added:
   pkg/GARPFRM/sandbox/test_kirk.R
Log:
test file (please ignore)

Added: pkg/GARPFRM/sandbox/test_kirk.R
===================================================================
--- pkg/GARPFRM/sandbox/test_kirk.R	                        (rev 0)
+++ pkg/GARPFRM/sandbox/test_kirk.R	2014-02-02 06:15:23 UTC (rev 57)
@@ -0,0 +1,33 @@
+# Dynamic Conditional Cor
+# UV N~GARCH(1,1) for each series
+
+install.packages("rmgarch")
+
+library(rmgarch)
+
+garch11.spec = ugarchspec(mean.model = list(armaOrder = c(0,0)), variance.model = list(garchOrder = c(1,1), model = "sGARCH"), distribution.model = "norm")
+
+# DCC specification: GARCH(1,1) for conditional cor
+dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec) ), dccOrder = c(1,1),  distribution = "mvnorm")
+
+
+dcc.garch11.spec
+
+# dccspec()
+# standardGeneric for "dccspec" defined from package "rmgarch"
+# 
+# function (uspec, VAR = FALSE, robust = FALSE, lag = 1, lag.max = NULL, 
+#           lag.criterion = c("AIC", "HQ", "SC", "FPE"), external.regressors = NULL, 
+#           robust.control = list(gamma = 0.25, delta = 0.01, nc = 10, 
+#                                 ns = 500), dccOrder = c(1, 1), model = c("DCC", "aDCC", 
+#                                                                          "FDCC"), groups = rep(1, length(uspec at spec)), distribution = c("mvnorm", 
+#                                                                                                                                         "mvt", "mvlaplace"), start.pars = list(), fixed.pars = list()) 
+#   standardGeneric("dccspec")
+# <environment: 0x26889470>
+#   Methods may be defined for arguments: uspec, VAR, robust, lag, lag.max, lag.criterion, external.regressors, robust.control, dccOrder, model, groups, distribution, start.pars, fixed.pars
+# Use  showMethods("dccspec")  for currently available ones.
+
+
+
+
+