Generate GOGARCH Specification — generate_gogarch

Generate a properly structured specification list for MS-VARMA-GARCH estimation with GOGARCH (Generalized Orthogonal GARCH) dynamics.

Usage

generate_gogarch_spec(
  M,
  k = 3,
  var_order = 1,
  garch_order = c(1, 1),
  ica_method = c("radical", "fastica"),
  n_components = k,
  distribution = c("norm", "nig", "gh"),
  seed = NULL,
  simple = FALSE
)

Arguments

M: Integer number of states
k: Integer number of series (default: 3)
var_order: Integer VAR order (default: 1)
garch_order: Integer vector of length 2: GARCH(p,q) order (default: c(1,1))
ica_method: Character: ICA algorithm ("radical" or "fastica")
n_components: Integer: number of ICA components (default: k)
distribution: Character: component distribution ("norm", "nig", or "gh")
seed: Integer random seed
simple: Logical: if TRUE, use identical starting values across states

Value

A list of length M containing properly formatted specifications

Examples

if (FALSE) { # \dontrun{
# Generate 2-state GOGARCH specification
spec <- generate_gogarch_spec(M = 2, k = 3)

# With FastICA and NIG distribution
spec_nig <- generate_gogarch_spec(M = 2, ica_method = "fastica", distribution = "nig")
} # }