multifilter-methods {rugarch}

function: Univariate GARCH and ARFIMA Multiple Filtering

Description

Method for multiple filtering of a variety of univariate GARCH and ARFIMA models.

Usage

multifilter(multifitORspec, data = NULL, out.sample = 0, n.old = NULL, 
rec.init = "all", cluster = NULL, ...)

Arguments

multifitORspec

Either a univariate GARCH or ARFIMA multiple fit object of class uGARCHmultifit and ARFIMAmultifit, or alternatively a univariate GARCH or ARFIMA multiple specification object of class uGARCHmultispec and ARFIMAmultispec with valid parameters supplied via the fixed.pars argument in the individual specifications.

data

Required if a multiple specification rather than a multiple fit object is supplied. A multivariate data object. Can be a matrix or data.frame object, no other class supported at present.

out.sample

A positive integer indicating the number of periods before the last to keep for out of sample forecasting (as in ugarchfit function).

n.old

For comparison with uGARCHfit or ARFIMAfit models using the out.sample argument, this is the length of the original dataset (see details).

rec.init

Recursion initialization method (as in ugarchfit function), valid only for GARCH models, and can be a vector of length equal to the number of assets being modelled.

cluster

A cluster object created by calling makeCluster from the parallel package. If it is not NULL, then this will be used for parallel estimation.

...

.

Value

A uGARCHmultifilter object containing details of the multiple GARCH filter. A ARFIMAmultifilter object containing details of the multiple ARFIMA filter.

Author(s)

Alexios Ghalanos