cgarch_modelspec.tsgarch.multi_estimate {tsmarch}R Documentation

Copula GARCH model specification

Description

Copula GARCH model specification

Usage

## S3 method for class 'tsgarch.multi_estimate'
cgarch_modelspec(
  object,
  dynamics = c("constant", "dcc", "adcc"),
  dcc_order = c(1, 1),
  transformation = c("parametric", "empirical", "spd"),
  copula = c("mvn", "mvt"),
  constant_correlation = c("pearson", "kendall", "spearman"),
  cond_mean = NULL,
  ...
)

Arguments

object

an object of class “tsgarch.multi_estimate”.

dynamics

the type of correlation dynamics to use.

dcc_order

the order of the dynamics in case of “dcc” or “adcc” correlation models.

transformation

the copula transformation to apply.

copula

the copula distribution.

constant_correlation

the constant correlation estimator to use. In the case of the “mvt” copula, only Kendall's tau is a valid choice.

cond_mean

an optional matrix of the conditional mean for the series.

...

additional arguments passed to the spd_modelspec function in the case of the “spd” transformation.

Value

an object of class “cgarch.spec”.


[Package tsmarch version 1.0.0 Index]