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Set the parameters of an ARMA-GARCH/APARCH model

Source: R/spec.R
gs_model.Rd

Attaches parameter values to a gs_spec(), checking lengths, admissible ranges and moment conditions. Parameters can be given one by one or as a named vector par (for example coef(fit)).

Usage

gs_model(
  spec,
  mu = NULL,
  ar = NULL,
  ma = NULL,
  omega = NULL,
  alpha = NULL,
  gamma = NULL,
  beta = NULL,
  delta = NULL,
  dist_par = NULL,
  par = NULL
)

Arguments

spec

A gs_spec object.

mu

Intercept (only when spec$include_mean).

ar, ma

AR and MA coefficients, lengths m and n.

omega

Positive constant of the scale recursion.

alpha, beta

Nonnegative coefficients, lengths p and q.

gamma

Asymmetry coefficients in (-1, 1), length p (APARCH only).

delta

Positive power (APARCH only).

dist_par

Distribution parameters, named by spec$dist$par_names.

par

Alternatively, a named vector with all free parameters.

Value

An object of class gs_model.

Examples

spec <- gs_spec(arma = c(1, 0), garch = c(1, 1), dist = gs_stable())
gs_model(spec, mu = 0, ar = 0.1, omega = 0.05, alpha = 0.1, beta = 0.85,
         dist_par = c(stable_alpha = 1.8, stable_beta = 0))
#> ARMA(1,0)-GARCH(1,1) with stable innovations
#>           mu          ar1        omega       alpha1        beta1 stable_alpha 
#>         0.00         0.10         0.05         0.10         0.85         1.80 
#>  stable_beta 
#>         0.00