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

[alexios ghalanos]

Since 2013 the development repository for my packages has moved (a
couple of time). See:
http://www.unstarched.net/r-downloads/
for latest details.

-Alexios

On 27/05/2014 19:56, Joshua Ulrich wrote:
> 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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