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
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