# test_that("Symmetric BEKK 2-dims works, ts object and QML_t_ratios = FALSE", { # obj_spec <- bekk_spec() # x1 <- bekk_fit(obj_spec, StocksBonds, QML_t_ratios = FALSE, max_iter = 50, crit = 1e-9) # # expect_equal(round(x1$log_likelihood), -7382) # expect_equal(round(sum(x1$theta)), 2) # expect_equal(round(sum(c(x1$C0_t, x1$A_t, x1$G_t))), 1208) # }) # # test_that("Symmetric BEKK 2-dims works, ts object and QML_t_ratios = TRUE", { # obj_spec <- bekk_spec() # x1 <- bekk_fit(obj_spec, StocksBonds, QML_t_ratios = TRUE, max_iter = 50, crit = 1e-9) # # expect_equal(round(x1$log_likelihood), -7382) # expect_equal(round(sum(x1$theta)), 2) # expect_lt(sum(c(x1$C0_t, x1$A_t, x1$G_t)), 1208) # }) # # test_that("Symmetric BEKK 3-dims works, xts object and QML_t_ratios = FALSE", { # obj_spec <- bekk_spec() # x1 <- bekk_fit(obj_spec, GoldStocksBonds, QML_t_ratios = FALSE, max_iter = 50, crit = 1e-9) # # expect_equal(round(x1$log_likelihood), 75249) # expect_equal(round(sum(x1$theta)), 4) # expect_equal(round(sum(c(x1$C0_t, x1$A_t, x1$G_t))), 2384) # }) # # test_that("Symmetric BEKK 3-dims works, xts object and QML_t_ratios = TRUE", { # obj_spec <- bekk_spec() # x1 <- bekk_fit(obj_spec, GoldStocksBonds, QML_t_ratios = TRUE, max_iter = 50, crit = 1e-9) # # expect_equal(round(x1$log_likelihood), 75249) # expect_equal(round(sum(x1$theta)), 4) # expect_lt(sum(c(x1$C0_t, x1$A_t, x1$G_t)), 2384) # }) # # test_that("Asymmetric BEKK 2-dims works, ts object and QML_t_ratios = FALSE", { # obj_spec <- bekk_spec(model = list(type = "bekk", asymmetric = TRUE)) # x1 <- bekk_fit(obj_spec, StocksBonds, QML_t_ratios = FALSE, max_iter = 50, crit = 1e-9) # # expect_equal(round(x1$log_likelihood), -7340) # expect_equal(round(sum(x1$theta)), 3) # expect_equal(round(sum(c(x1$C0_t, x1$A_t, x1$G_t))), 1086) # }) # # test_that("Asymmetric BEKK 2-dims works, ts object and QML_t_ratios = TRUE", { # obj_spec <- bekk_spec(model = list(type = "bekk", asymmetric = TRUE)) # x1 <- bekk_fit(obj_spec, StocksBonds, QML_t_ratios = TRUE, max_iter = 50, crit = 1e-9) # # expect_equal(round(x1$log_likelihood), -7340) # expect_equal(round(sum(x1$theta)), 3) # expect_lt(sum(c(x1$C0_t, x1$A_t, x1$G_t)), 1086) # }) # # # test_that("Asymmetric BEKK 3-dims works, xts object and QML_t_ratios = TRUE", { # obj_spec <- bekk_spec(model = list(type = "bekk", asymmetric = TRUE)) # x1 <- bekk_fit(obj_spec, GoldStocksBonds, QML_t_ratios = TRUE, max_iter = 50, crit = 1e-9) # # expect_equal(round(x1$log_likelihood), 75327) # expect_equal(round(sum(x1$theta)), 4) # expect_lt(sum(c(x1$C0_t, x1$A_t, x1$G_t)), 1797) # }) test_that("Symmetric dBEKK 2-dims works, ts object and QML_t_ratios = FALSE", { obj_spec <- bekk_spec(model = list(type = "dbekk", asymmetric = F)) x1 <- bekk_fit(obj_spec, StocksBonds, QML_t_ratios = FALSE, max_iter = 50, crit = 1e-9) expect_equal(round(x1$log_likelihood), -7388) expect_equal(round(sum(x1$theta)), 3) expect_equal(round(sum(c(x1$C0_t, x1$A_t, x1$G_t))), 1231) }) test_that("Asymmetric dBEKK 3-dims works, xts object and QML_t_ratios = TRUE", { obj_spec <- bekk_spec(model = list(type = "dbekk", asymmetric =T)) x1 <- bekk_fit(obj_spec, GoldStocksBonds, QML_t_ratios = TRUE, max_iter = 50, crit = 1e-9) expect_equal(round(x1$log_likelihood), 75068) expect_equal(round(sum(x1$theta)), 4) expect_lt(sum(c(x1$C0_t, x1$A_t, x1$G_t)), 100) }) test_that("Symmetric sBEKK 2-dims works, ts object and QML_t_ratios = FALSE", { obj_spec <- bekk_spec(model = list(type = "sbekk", asymmetric = F)) x1 <- bekk_fit(obj_spec, StocksBonds, QML_t_ratios = FALSE, max_iter = 50, crit = 1e-9) expect_equal(round(x1$log_likelihood), -7417) expect_equal(round(sum(x1$theta)), 1) expect_equal(round(sum(c(x1$C0_t, x1$A_t, x1$G_t))), 35) }) test_that("Symmetric sBEKK 3-dims works, xts object and QML_t_ratios = TRUE", { obj_spec <- bekk_spec(model = list(type = "sbekk", asymmetric = F)) x1 <- bekk_fit(obj_spec, GoldStocksBonds, QML_t_ratios = TRUE, max_iter = 50, crit = 1e-9) expect_equal(round(x1$log_likelihood), 74997) expect_equal(round(sum(x1$theta)), 1) expect_lt(sum(c(x1$C0_t, x1$A_t, x1$G_t)), 399.75) })