racd package - Time-varying higher moment

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racd package - Time-varying higher moment

Trung.BA
Dear all,

I am currently working on the "racd" package of Alexios about modeling
time-varying higher moment for returns series.

In the package, however, there are limited choices of specifications for
the conditional variance, in compared with its predecessor “rugarch”.

I am just wondering how could I impose other specifications into the
conditional variance function, such as GIR-GARCH specification to account
for potential leverage effect in the series?

Best regards,

T

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*Best regards, *
TRUNG

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Re: racd package - Time-varying higher moment

alexios
You can download the source and try to make such additions yourself.
Currently the package allows for plain vanilla GARCH (sGARCH), component
GARCH (csGARCH)
and multiplicative component GARCH (mcsGARCH).

Alexios

On 2/25/2017 5:10 AM, Le Hai Trung KNH wrote:

> Dear all,
>
> I am currently working on the "racd" package of Alexios about modeling
> time-varying higher moment for returns series.
>
> In the package, however, there are limited choices of specifications for
> the conditional variance, in compared with its predecessor “rugarch”.
>
> I am just wondering how could I impose other specifications into the
> conditional variance function, such as GIR-GARCH specification to account
> for potential leverage effect in the series?
>
> Best regards,
>
> T
>

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