bekk_spec {BEKKs}

BEKK specification method

Description

Method for creating a N-dimensional BEKK model specification object prior to fitting and/or simulating.

Usage

bekk_spec(
  model = list(type = "bekk", asymmetric = FALSE),
  init_values = NULL,
  signs = NULL,
  N = NULL
)

Arguments

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, 'NULL' (default) to use a simple grid search algorithm, 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.

Value

Returns a S3 class "bekkSpec" object containing the specifications of the model to be estimated.

Examples

data(StocksBonds)

# Fitting a symmetric BEKK model using default starting values
# - i.e. fixed values
obj_spec_fixed <- bekk_spec(init_values = NULL)
x1 <- bekk_fit(obj_spec_fixed, StocksBonds, QML_t_ratios = FALSE,
max_iter = 50, crit = 1e-9)
# Fitting a symmetric BEKK model using initial values originating from a
# random grid search algorithm
obj_spec_random <- bekk_spec(init_values = "random")
x2 <- bekk_fit(obj_spec_random, StocksBonds, QML_t_ratios = FALSE,
max_iter = 50, crit = 1e-9)
summary(x1)
summary(x2)
plot(x1)
plot(x2)
# Fitting an asymmetric BEKK model with default starting values
obj_spec_fix <- bekk_spec(model = list(type = "bekk", asymmetric = TRUE),
init_values = NULL)
x1 <- bekk_fit(obj_spec_fix, StocksBonds)
obj_spec_random <- bekk_spec(model = list(type = "bekk", asymmetric = TRUE),
init_values = "random")
x2 <- bekk_fit(obj_spec_random, StocksBonds)
summary(x1)
summary(x2)