racd package - Time-varying higher moment
You can download the source and try to make such additions yourself. Currently the package allows for plain vanilla GARCH (sGARCH), component GARCH (csGARCH) and multiplicative component GARCH (mcsGARCH). Alexios
On 2/25/2017 5:10 AM, Le Hai Trung KNH wrote:
Dear all, I am currently working on the "racd" package of Alexios about modeling time-varying higher moment for returns series. In the package, however, there are limited choices of specifications for the conditional variance, in compared with its predecessor ?rugarch?. I am just wondering how could I impose other specifications into the conditional variance function, such as GIR-GARCH specification to account for potential leverage effect in the series? Best regards, T