Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

[Up] [Top]

Documentation for package ‘fGarch’ version 4040.92.9000

Help Pages

fGarch-package Modelling heterskedasticity in financial time series
.gogarchFit Fit univariate and multivariate GARCH-type models
.ugarchFit Class 'fUGARCHSPEC'
.ugarchSpec Class 'fUGARCHSPEC'
absMoments Absolute moments of GARCH distributions
coef GARCH coefficients methods
coef-method GARCH coefficients methods
coef-methods GARCH coefficients methods
dem2gbp Time series datasets
dged Standardized generalized error distribution
dsged Skew generalized error distribution
dsnorm Skew normal distribution
dsstd Skew Student-t distribution
dstd Standardized Student-t distribution
ES Compute Value-at-Risk (VaR) and expected shortfall (ES)
ES.fGARCH Compute Value-at-Risk (VaR) and expected shortfall (ES)
fGarch Modelling heterskedasticity in financial time series
fGARCH-class Class "fGARCH" - fitted ARMA-GARCH/APARCH models
fGarchData Time series datasets
fGARCHSPEC-class Class "fGARCHSPEC"
fitted Extract GARCH model fitted values
fitted-method Extract GARCH model fitted values
fitted-methods Extract GARCH model fitted values
formula Extract GARCH model formula
formula-method Extract GARCH model formula
formula-methods Extract GARCH model formula
fUGARCHSPEC-class Class 'fUGARCHSPEC'
garchFit Fit univariate and multivariate GARCH-type models
garchFitControl Control GARCH fitting algorithms
garchKappa Fit univariate and multivariate GARCH-type models
garchSim Simulate univariate GARCH/APARCH time series
garchSpec Univariate GARCH/APARCH time series specification
ged Standardized generalized error distribution
gedFit Generalized error distribution parameter estimation
gedSlider Visualise skew normal, (skew) Student-t and (skew) GED distributions
pged Standardized generalized error distribution
plot GARCH plot methods
plot-method GARCH plot methods
plot-methods GARCH plot methods
predict GARCH prediction function
predict-method GARCH prediction function
predict-methods GARCH prediction function
psged Skew generalized error distribution
psnorm Skew normal distribution
psstd Skew Student-t distribution
pstd Standardized Student-t distribution
qged Standardized generalized error distribution
qsged Skew generalized error distribution
qsnorm Skew normal distribution
qsstd Skew Student-t distribution
qstd Standardized Student-t distribution
residuals Extract GARCH model residuals
residuals-method Extract GARCH model residuals
residuals-methods Extract GARCH model residuals
rged Standardized generalized error distribution
rsged Skew generalized error distribution
rsnorm Skew normal distribution
rsstd Skew Student-t distribution
rstd Standardized Student-t distribution
sged Skew generalized error distribution
sgedFit Skew generalized error distribution parameter estimation
sgedSlider Visualise skew normal, (skew) Student-t and (skew) GED distributions
show-method Class "fGARCH" - fitted ARMA-GARCH/APARCH models
show-method Class "fGARCHSPEC"
snorm Skew normal distribution
snormFit Skew normal distribution parameter estimation
snormSlider Visualise skew normal, (skew) Student-t and (skew) GED distributions
sp500dge Time series datasets
sstd Skew Student-t distribution
sstdFit Skew Student-t distribution parameter estimation
sstdSlider Visualise skew normal, (skew) Student-t and (skew) GED distributions
stats-tsdiag Diagnostic plots and statistics for fitted GARCH models
std Standardized Student-t distribution
stdFit Student-t distribution parameter estimation
stdSlider Visualise skew normal, (skew) Student-t and (skew) GED distributions
summary fGARCH method for the summary function
summary-method fGARCH method for the summary function
summary-methods fGARCH method for the summary function
tsdiag Diagnostic plots and statistics for fitted GARCH models
tsdiag.fGARCH Diagnostic plots and statistics for fitted GARCH models
update-method Class "fGARCH" - fitted ARMA-GARCH/APARCH models
update-method Class "fGARCHSPEC"
VaR Compute Value-at-Risk (VaR) and expected shortfall (ES)
VaR.fGARCH Compute Value-at-Risk (VaR) and expected shortfall (ES)
volatility Extract GARCH model volatility
volatility.fGARCH Extract GARCH model volatility