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racd package
2 messages · Wei-han Liu, Alexios Ghalanos
Did you try:
vignette(package="racd")
...and then:
vignette("Time_Varying_Higher_Moments")
It provides details on the parametrization of the higher moment dynamics
used in the model specification. Other than that, I don't really know
what you mean by "determine the parameters".
-Alexios
On 18/11/2013 10:50, Wei-han Liu wrote:
Hi R users, I am studying the Autoregressive Conditional Density (ACD) model of Hansen (1994) and following the document "Time Varying Higher Moments with the racd package" (http://www.unstarched.net/2013/04/22/time-varying-higher-moments-with-the-racd-package/). args(acdspec) ## function (variance.model = list(model = 'sGARCH', garchOrder = c(1, ## 1), external.regressors = NULL, variance.targeting = FALSE), ## mean.model = list(armaOrder = c(1, 1), include.mean = TRUE, ## archm = FALSE, arfima = FALSE, external.regressors = NULL), ## distribution.model = list(model = 'snorm', skewOrder = c(1, ## 1, 1), skewshock = 1, skewshocktype = 1, skewmodel = 'quad', ## skew.regressors = NULL, shapeOrder = c(0, 1, 1), shapeshock = 1, ## shapeshocktype = 1, shapemodel = 'quad', shape.regressors = NULL, ## exp.rate = 1), start.pars = list(), fixed.pars = list()) Could some person share the guidelines to determine the parameters in distribution.model in package racd, e.g. model, skewOrder, skewshock, skewshocktype, skewmodel? Many thanks for your attention and assistance. Weihan [[alternative HTML version deleted]]
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