Summary Function for Complete CGARCH Diagnostic Analysis

Run a complete diagnostic analysis including MC study, likelihood surface, and statistical tests for CGARCH models.

Usage

run_complete_cgarch_diagnostics(
  n_sim = 50,
  n_obs = 500,
  true_alpha = 0.05,
  true_beta = 0.9,
  omega = c(0.05, 0.08),
  alpha_garch = c(0.1, 0.12),
  beta_garch = c(0.85, 0.82),
  copula = "mvn",
  true_shape = 8,
  transformation = "parametric",
  seed = 42,
  plot = TRUE
)

Arguments

n_sim

Number of MC replications

n_obs

Observations per replication

true_alpha

True DCC alpha

true_beta

True DCC beta

omega

Vector of GARCH omega parameters

alpha_garch

Vector of GARCH alpha parameters

beta_garch

Vector of GARCH beta parameters

copula

Copula distribution ("mvn" or "mvt")

true_shape

True shape for MVT copula

transformation

PIT transformation type

seed

Random seed

plot

Logical: create plots?

Value

List with all diagnostic results