R 中的 MSGARCH 包

Question

在 "rugarch" 包中，garch 规范如下所示：

ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1),
submodel = NULL, external.regressors = NULL, variance.targeting = FALSE),
mean.model = list(armaOrder = c(1, 1), include.mean = TRUE, archm = FALSE,
archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE),
distribution.model = "norm", start.pars = list(), fixed.pars = list(), ...)

这里我可以在均值方程中指定外部回归变量。

在 Markov 切换 garch 包中 "msgarch" garch 规范如下所示：

CreateSpec(variance.spec = list(model = c("sGARCH", "sGARCH")),
distribution.spec = list(distribution = c("norm", "norm")),
switch.spec = list(do.mix = FALSE, K = NULL), constraint.spec = list(fixed
= list(), regime.const = NULL), prior = list(mean = list(), sd = list()))

我的问题是如何在马尔可夫转换 garch 模型中指定具有外部回归变量的均值方程？

Answer 1

MSGARCH 包基于零条件均值的假设，因此模型必须由去均值的时间序列构建。 MSGARCH

R 中的 MSGARCH 包

MSGARCH package in R

r

markov

markov-models