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fGarch

Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Provides a collection of functions to analyze and model heteroskedastic behavior in financial time series models.

Functions (33)

00fGarch-package

Modelling Heterskedasticity in Financial Time Series

class-fGARCH

Class "fGARCH"

class-fGARCHSPEC

Class "fGARCHSPEC"

data

Time Series Data Sets

dist-absMoments

Absolute Moments of GARCH Distributions

dist-ged

Generalized Error Distribution

dist-gedFit

Generalized Error Distribution Parameter Estimation

dist-gedSlider

Geeneralized Error Distribution Slider

dist-sged

Skew Generalized Error Distribution

dist-sgedFit

Skew Generalized Error Distribution Parameter Estimation

dist-sgedSlider

Skew GED Distribution Slider

dist-snorm

Skew Normal Distribution

dist-snormFit

Skew Normal Distribution Parameter Estimation

dist-snormSlider

Skew Normal Distribution Slider

dist-sstd

Skew Student-t Distribution and Parameter Estimation

dist-sstdFit

Skew Student-t Distribution Parameter Estimation

dist-sstdSlider

Skew Student-t Distribution Slider

dist-std

Student-t Distribution

dist-stdFit

Student-t Distribution Parameter Estimation

dist-stdSlider

Student-t Distribution Slider

garchFit

Univariate GARCH Time Series Fitting

garchFitControl

GARCH Fitting Algorithms and Control

garchSim

Univariate GARCH/APARCH Time Series Simulation

garchSpec

Univariate GARCH Time Series Specification

methods-coef

GARCH Coefficients Methods

methods-fitted

Extract GARCH Model Fitted Values

methods-formula

Extract GARCH Model formula

methods-plot

GARCH Plot Methods

methods-predict

GARCH Prediction Function

methods-residuals

Extract GARCH Model Residuals

methods-show

GARCH Modelling Show Methods

methods-summary

GARCH Summary Methods

methods-volatility

Extract GARCH Model Volatility

fGarch

Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

v3042.83.2

GPL (>= 2)

Authors

Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb], Chris Boudt [ctb], Pierre Chausse [ctb], Michal Miklovac [ctb]

Initial release

2017-11-12

fGarch

Functions (33)

fGarch

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