default_garch_spec {portvine}

Default specifications for ARMA-GARCH models

Description

This function is used as the default for the univariate model fitting i.e. the marginal models and can be used to easily specify a different individual marginal model specification or default in marginal_settings(). The ARMA(ar,ma)-GARCH(arch,garch) is fitted with the distribution given by dist that specifies the conditional density used for the innovations.

Usage

default_garch_spec(ar = 1, ma = 1, arch = 1, garch = 1, dist = "sstd")

Arguments

ar

integer for the autoregressive order

ma

integer for the moving average order

arch

integer for the ARCH order

garch

integer for the GARCH order

dist

a single character value of the possible distributions allowed in rugarch::ugarchspec

Value

object of class rugarch::ugarchspec

See Also

marginal_settings()

Examples

# the default is then just using
default_garch_spec()
# to specify a ARMA(2,2)-GARCH(1,1) model with normal residual distribution
default_garch_spec(ar = 2, ma = 2, dist = "norm")