[R-SIG-Finance] racd package

[alexios ghalanos]

Did you try:
vignette(package="racd")
...and then:
vignette("Time_Varying_Higher_Moments")

It provides details on the parametrization of the higher moment dynamics
used in the model specification. Other than that, I don't really know
what you mean by "determine the parameters".

-Alexios

On 18/11/2013 10:50, Wei-han Liu wrote:
> Hi
> R users,
>  
> I am
> studying the Autoregressive Conditional Density (ACD) model of Hansen (1994) and following the document "Time Varying Higher Moments with
> the racd package" (http://www.unstarched.net/2013/04/22/time-varying-higher-moments-with-the-racd-package/).
> args(acdspec)
> ## function (variance.model = list(model =
> 'sGARCH', garchOrder = c(1,
> ##     1),
> external.regressors = NULL, variance.targeting = FALSE),
> ##     mean.model =
> list(armaOrder = c(1, 1), include.mean = TRUE,
> ##        
> archm = FALSE, arfima = FALSE, external.regressors = NULL),
> ##     distribution.model
> = list(model = 'snorm', skewOrder = c(1,
> ##        
> 1, 1), skewshock = 1, skewshocktype = 1, skewmodel = 'quad',
> ##        
> skew.regressors = NULL, shapeOrder = c(0, 1, 1), shapeshock = 1,
> ##        
> shapeshocktype = 1, shapemodel = 'quad', shape.regressors = NULL,
> ##        
> exp.rate = 1), start.pars = list(), fixed.pars = list())
>  
> Could some person share the guidelines to
> determine the parameters in distribution.model in package racd, e.g. model,
> skewOrder, skewshock, skewshocktype, skewmodel?
>  
> Many thanks for your attention and assistance.
>  
> Weihan
> 	[[alternative HTML version deleted]]
> 
> 
> 
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