Complete GOGARCH Diagnostics

Run comprehensive diagnostics for GOGARCH models.

Usage

run_complete_gogarch_diagnostics(
  n_sim = 50,
  n_obs = 500,
  k = 3,
  omega = NULL,
  alpha_garch = NULL,
  beta_garch = NULL,
  distribution = "norm",
  ica_method = "radical",
  seed = 42,
  plot = TRUE
)

Arguments

n_sim

Number of MC replications

n_obs

Observations per replication

k

Number of series/components

omega

Vector of component GARCH omega

alpha_garch

Vector of component GARCH alpha

beta_garch

Vector of component GARCH beta

distribution

Component distribution

ica_method

ICA algorithm

seed

Random seed

plot

Logical: create plots?

Value

List with diagnostic results