[R-SIG-Finance] Time Varying Higher Moments - racd?

Mark Knecht markknecht at gmail.com
Tue May 27 20:54:55 CEST 2014


In this presentation:

http://www.rinfinance.com/agenda/2013/talk/AlexiosGhalanos.pdf

there is a bit of code on page 16 (and copied below) that loads a
library called racd. I cannot seem to find racd. Can someone point me
in the right direction?

Thanks,
Mark



library(racd)
library(rugarch)
data(sp500ret)
spec = acdspec(variance.model=list(model=”sGARCH”, variance.targeting=TRUE),
distribution.model=list(model=”nig”,skewOrder=c(1,0,1),
shapeOrder=c(1,1,1),skewmodel=”quad”,shapemodel=”pwl”))
mod = acdfit(spec, sp500ret, solver=”msoptim”,solver.control=list(restarts=5))



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