我正在尝试预测 Copula Garch 模型。我曾尝试将 dccforecast 函数与 cGARCHfit 一起使用,但结果表明没有适用于类 cGARCHfit 对象的“dccforecast”方法是错误的。那么实际上我们如何预测 dcc copula garch 模型呢?
我有以下可重现的代码。
library(zoo)
library(rugarch)
library(rmgarch)
data("EuStockMarkets")
EuStockLevel <- as.zoo(EuStockMarkets)[,c("DAX","CAC","FTSE")]
EuStockRet <- diff(log(EuStockLevel))
# DCC timecopula MVN
uspec = ugarchspec(mean.model = list(armaOrder = c(0,0)), variance.model = list(garchOrder = c(1,1), model = "sGARCH", variance.targeting=FALSE), distribution.model = "norm")
spec1 = cgarchspec(uspec = multispec( replicate(3, uspec) ), asymmetric = TRUE, distribution.model = list(copula = "mvnorm", method = "Kendall", time.varying = TRUE, transformation = "parametric"))
fit1 = cgarchfit(spec1, data = EuStockRet, cluster = NULL, solver.control=list(trace=1))
print(fit1)
> fit.copula = cgarchfit(spec1, data = EuStockRet, out.sample = 120, solver = "solnp", solver.control =list(),fit.control = list(eval.se = TRUE, stationarity = TRUE, scale = FALSE),cluster = NULL, fit =NULL, VAR.fit = NULL)
> dcc.copula.focast=dccforecast(fit.copula, n.ahead = 1, n.roll = 0)
Error in UseMethod("dccforecast") : no applicable method for 'dccforecast' applied to an object of class "c('cGARCHfit', 'mGARCHfit', 'GARCHfit', 'rGARCH')"
感谢您的友好帮助。
谢谢