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

[Joshua Ulrich]

See p15 of the presentation.
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com


On Tue, May 27, 2014 at 1:54 PM, Mark Knecht <markknecht at gmail.com> wrote:
> 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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