[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))
More information about the R-SIG-Finance
mailing list