bekk_spec {BEKKs} | R Documentation |
Method for creating a N-dimensional BEKK model specification object prior to fitting and/or simulating.
bekk_spec(
model = list(type = "bekk", asymmetric = FALSE),
init_values = NULL,
signs = NULL,
N = NULL
)
model |
A list containing the model type specification: Either "bekk" "dbekk" or "sbekk". Moreover it can be specified whether the model should be estimated allowing for asymmetric volatility structure. |
init_values |
initial values for bekk_fit during BHHH algorithm. It can be either a numerical vector of suitable dimension, or a character vector i.e. "random" to use a random starting value generator (set a seed in advance for reproducible results), or "simple" for relying on a simple initial values generator based on typical values for BEKK parameter found in the literature. If the object from this function is passed to simulate, "init_values" are used as parameters for data generating process. |
signs |
An N-dimensional vector consisting of "1" or "-1" to indicate the asymmetric effects to be considered. Setting the i-th element of the vector to "1" or "-1" means that the model takes into account additional volatility if the returns of the i-th column in the data matrix are either positive or negative. If "asymmetric = TRUE", the default is set to "rep(-1, N)" i.e. it is assumed that excess volatility occurs for all series if the returns are negative. |
N |
Integer specifying the dimension of the BEKK model. Only relevant when this object of class "bekkSpec"" is used for simulating BEKK processes by applying it to simulate. |
Returns a S3 class "bekkSpec" object containing the specifications of the model to be estimated.