External regressor bounds in rmgarch

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External regressor bounds in rmgarch

Josh Segal
Hi all,

Is it possible to change the bounds for external regressor coefficients
when estimating a *multivariate* volatility model (e.g. dccspec) in rmgarch?

I know how to do this for a univariate spec in rugarch using
'setbounds<-'.  However, when I define a multivariate spec from such
univariate specs, the revised bounds seem to be overridden.

I'm doing something like this:

uspec = ugarchspec(variance.model = list(external.regressors =
spec = dccspec(uspec = multispec(replicate(n.dim, uspec)))
fit = dccfit(spec, data = data)

I care because I want to allow for the possibility of negative coefficients.

Thanks for any help!

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