what works with what

[amitmittal-9294]

GAS SD models of Harvey 2013 work with DCC/FDCC Copula Garch models in rmgarch using rugarch objects or as explained by Alex Ghalainos. In a similar extension i want to use MSGARCH objects to create a regime like in Cholette(2009) and test structural markers in a multivariate sample sample > 1000 obs for each market/series. For example say, sged/sstd/Beta t egarch -GAS-FDCC for these markets along with copulas and others for robustness measures,

I need so I can actually use the DCCfit object of rmgarch for a common output acroos a two regime MSGARCH spec for each univariate market/ideally common spec across all 13 markets so i can compare with vinecopula. This implies MSGARCH has already meshed with multiDCCspec and DCCfit objects to get me working plots.

I believe then i have a comparable work with vinecopula package for robustness tests of the vine specification

Also can midasr be extended into the unigarchspec objects of rugarch/rmgarch to use dcc midas in dccfit