Proposal for coding bridges in apps

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Proposal for coding bridges in apps

Amit Mittal
GAS SD models of Harvey 2013 work with DCC/FDCC Copula Garch models in
`rmgarch` using `rugarch` objects or as explained by Alex Ghalainos. In a
similar extension i want to use `MSGARCH` objects to create a regime like
in Cholette(2009) and test structural markers in a multivariate sample
sample > 1000 obs for each market/series. For example say, sged/sstd/Beta t
egarch -GAS-FDCC for these markets along with copulas and others for
robustness measures,

I need so I can actually use the `DCCfit` object of `rmgarch` for a common
output acroos a two regime MSGARCH spec for each univariate market/ideally
common spec across all 13 markets so i can compare with `vinecopula`. This
implies `MSGARCH` has already meshed with `multiDCCspec` and `DCCfit`
objects to get me working plots.

I believe then i have a comparable work with `vinecopula` package for
robustness tests of the vine specification

Also can `midasr` be extended into the `unigarchspec` objects of
`rugarch`/`rmgarch` to use dcc midas in `dccfit`

Best Regards





Amit Mittal
Pursuing Ph.D. in Finance and Accounting
Indian Institute of Management, Lucknow
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