Re: [R] Could you manually replicate execution of a R function

Hi Ivan, Thanks for pointing this out. It now matches. Thanks and regards, On Thu, 21 Sept 2023 at 13:04, Ivan Krylov wrote: > > On Tue, 19 Sep 2023 23:09:18 +0530 > Brian Smith wrote: > > > C = rep(0, length(D)) > > N = length(D) > > In the VaRDurTest function, there's additional code between

Re: [R] Could you manually replicate execution of a R function

On Tue, 19 Sep 2023 23:09:18 +0530 Brian Smith wrote: > C = rep(0, length(D)) > N = length(D) In the VaRDurTest function, there's additional code between these two expressions that deals with censoring if head(VaR.ind, 1) == 0 or tail(VaR.ind, 1) == 0. Both of these are true for your input data.

Re: [R] Could you manually replicate execution of a R function

{�, and parse(text=�.) to break the function into expressions. That might be easier than copy-pasting function code. Regards, Jorgen Harmse. Message: 1 Date: Tue, 19 Sep 2023 23:09:18 +0530 From: Brian Smith To: r-help@r-project.org Subject: [R] Could you manually replicate execution of a R f

[R] Could you manually replicate execution of a R function

Hi, I have trying to replicate a function from rugarch package manually. Below is the calculation based on the function, library(rugarch) data(dji30ret) spec = ugarchspec(mean.model = list(armaOrder = c(1,1), include.mean = TRUE), variance.model = list(model = "gjrGARCH"), distribution.model = "s