[R] rugarch with sub models

nserdar snes1982 at hotmail.com
Sat Mar 3 16:44:24 CET 2012


Hi

spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,
1), submodel = NULL, external.regressors = NULL, variance.targeting =
FALSE), mean.model = list(armaOrder=c(0,0),include.mean = FALSE, archm =
FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex =
FALSE), distribution.model = "norm", start.pars = list(), fixed.pars =
list()) 

I am little bit confused about the sub model. 

 model: eGARCH + submodel:GARCH = GARCH ?
 model :eGARCH+ submodel:gjrGARCH = GJRGARCH ?
 or 
model:sGARCH+ submodel:gjrGARCH = GJRGARCH ?

or model: eGARCH + submodel: GARCH + distribution.model: std = GARCH-student
t ?


Please let me know whether my opinion is right or not.

Regards,
Serdar
 

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