R: Auxiliary functions

tvgarchObj {tvgarch}

R Documentation

Auxiliary functions

Description

Auxiliary functions used in the estimation of the univariate and multivariate TV(s)-GARCH(p,q,r)-X model. Not intended for the average user.

Usage

  tv(speed, location, xtv = NULL, n = NULL, opt = 0, 
  order.g = NULL, as.zoo = TRUE, verbose = FALSE)
  tvObj(par.g, fixed.par.g, xtv, opt, order.g, fixed.h, y, iter0, flag)
  garchObj(par.h, xreg, order.h, fixed.g, y, flag)
  tvgarchObj(par, fixed.par.g, y, order.g, xtv, opt, iter.fit.h, flag)

Arguments

`speed`	`NULL` or numeric `vector` with the values of the speed coefficients.
`location`	`NULL` or numeric `vector` with the values of the location coefficients.
`xtv`	`NULL` or numeric `vector`, time series or `zoo` object to include as the transition variable in the TV component. If `NULL`, a continuous variable bounded between 0 and 1 for `n` observations is constructed and used as the transition variable.
`n`	`integer` indicating the number of observations of the continuous transition variable bounded between 0 and 1.
`opt`	`integer`, indicates whether the speed parameter in the TV component should be scaled. If 0, no scaling; if 1, speed/sd(xtv); if 2, exp(speed). For function `tv()`, the default is 0.
`order.g`	a scalar in `tv()` and an `integer` `vector` of length s in `tvObj()` indicating the number of locations in each transition function of the TV component. For function `tv()`, it defaults to `NULL`.
`as.zoo`	`logical`. If `TRUE`, then the returned result is of class `zoo`.
`verbose`	`logical`, if `TRUE`, the values of not only the logistic transition function but also the transition variable are returned.
`par.g`	numeric `vector` with the values of the parameters in the TV component. If `iter0`=TRUE, `par.g` takes the form c(`intercept.g`, `size`, `speed`, `location`); if `iter0`=`FALSE`, then `par.g`=c(`speed`,`size`, `location`) and the values of the fixed parameters are provided using `fixed.par.g`).
`fixed.par.g`	`NULL` or numeric `vector` with the values of the parameters fixed in the TV component, i.e., intercept.g.
`par`	`NULL` or numeric `vector` with the values of the parameters in the TV-GARCH-X model.
`fixed.h`	numeric `vector`, time series or `zoo` containing the values of GARCH-X component).
`y`	numeric `vector`, time series or `zoo` object.
`iter0`	`logical`. If `FALSE`, some parameters in the TV component are fixed during the iterative estimation.
`flag`	`integer`. If 0, returns a numeric `vector` with the values of the objective function; if 1 returns the the value of the objective function; if 2, returns the fitted variance components.
`par.h`	numeric `vector` with the values of the parameters in the GARCH-X component.
`order.h`	`integer` `vector` of the form c(p,q,r). The first entry controls the GARCH order, the second the ARCH order and the third the asymmetry order of the GARCH-X component.
`xreg`	numeric `vector`, times eries or zoo object to include as covariates in the GARCH-X component.
`fixed.g`	numeric `vector`, time series or `zoo` containing the values of TV component).
`iter.fit.h`	a list of class 'garchx'.

Value

The values of the objective function or fitted variance components.

Author(s)