gjrsk_construct {GARCHSK}

This function constructs GJRSK model of given data and parameters.

Description

This function constructs GJRSK model of given data and parameters.

Usage

gjrsk_construct(params, data)

Arguments

params

vector of GJRSK model parameters(p1,const2,p2,q2,r2,const3,p3,q3,r3,const4,p4,q4,r4)

data

vector time series data

Value

list of conditional mean(mu), variance(h), skewness(sk) and kurtosis(ku)