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racd package - Time-varying higher moment

2 messages · Le Hai Trung KNH, Alexios Ghalanos

Original
Le Hai Trung KNH
# 
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
Alexios Ghalanos
# 
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: