GOGARCH Comprehensive Inference — gogarch_comprehensive_inference • tsbs

Compute bootstrap-based inference for GOGARCH model. Profile likelihood is not available for GOGARCH due to the ICA structure.

Usage

gogarch_comprehensive_inference(
  residuals,
  weights,
  garch_pars,
  ica_info,
  n_boot = 200,
  boot_method = "residual",
  distribution = "norm",
  conf_level = 0.95,
  verbose = TRUE,
  seed = NULL
)

Arguments

residuals: T x k matrix of observed residuals
weights: T-vector of observation weights
garch_pars: List of GARCH parameters per component
ica_info: ICA decomposition information
n_boot: Number of bootstrap replications
boot_method: Bootstrap method
distribution: "norm" or "std"
conf_level: Confidence level
verbose: Print progress
seed: Random seed

Value

List with inference results