GEVStableGarch: ARMA-GARCH/APARCH Models with GEV and Stable Distributions
Version 1.1

Package for simulation and estimation of ARMA-GARCH/APARCH models with GEV and stable distributions.

AuthorThiago Sousa [aut, cre], Cira Otiniano [ctb], Silvia Lopes [ctb], Diethelm Wuertz [ctb, cph]
Date of publication2015-08-20 10:39:40
MaintainerThiago Sousa <thiagoestatistico@gmail.com>
LicenseGPL (>= 2)
Version1.1
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("GEVStableGarch")

Getting started

Package overview

Popular man pages

data: Time Series Data Sets
dist-skstd: Skew Student's t Distribtuion from Fernandez and Steel (1997)
GEVStableGarch-package: ARMA-GARCH/APARCH modelling with GEV and stable distributions
gsFit: Estimation of ARMA-GARCH/APARCH models
gsSelect: Selects the best model according to goodness-of-fit criteria
gsSim: Simulation of ARMA-GARCH/APARCH process
show-methods: GEVSTABLEGARCH Package Show Methods
See all...

All man pages Function index File listing

Man pages

class-GEVSTABLEGARCH: Class '"GEVSTABLEGARCH"'
class-GEVSTABLEGARCHSPEC: Class '"GEVSTABLEGARCHSPEC"'
data: Time Series Data Sets
dist-gat: Generalized Asymmetric t Distribution
dist-skstd: Skew Student's t Distribtuion from Fernandez and Steel (1997)
GEVStableGarch-package: ARMA-GARCH/APARCH modelling with GEV and stable distributions
gsFit: Estimation of ARMA-GARCH/APARCH models
gsMomentAparch: Computation of moments for several conditional distribution
gsSelect: Selects the best model according to goodness-of-fit criteria
gsSim: Simulation of ARMA-GARCH/APARCH process
gsSpec: Specification of ARMA-GARCH/APARCH models with GEV or stable...
show-methods: GEVSTABLEGARCH Package Show Methods

Functions

Datasets Man page
GEVSTABLEGARCH-class Man page
GEVSTABLEGARCHSPEC-class Man page
GEVStableGarch Man page
GEVStableGarch-package Man page
GSgarch.dstable Source code
armaGarchDist Source code
dem2gbp Man page
dgat Man page Source code
dskstd Man page Source code
filterAparch Source code
filterAparchForLoop Source code
filterArma Source code
filterGarch11Fit Source code
gat Man page
gatMomentAparch Source code
gedMomentAparch Source code
getFormula Source code
getOrder Source code
getStart Source code
gevMomentAparch Source code Source code
gsFit Man page Source code
gsMomentAparch Man page Source code
gsSelect Man page Source code
gsSim Man page Source code
gsSpec Man page Source code
normMomentAparch Source code
onAttach Source code
pgat Man page Source code
pskstd Man page Source code
qgat Man page Source code
qskstd Man page Source code
rgat Man page Source code
rskstd Man page Source code
show,GEVSTABLEGARCH-method Man page
show,GEVSTABLEGARCH-update Man page
show,GEVSTABLEGARCHSPEC-method Man page
show,GEVSTABLEGARCHSPEC-update Man page
show-methods Man page
skstd Man page
skstdMomentAparch Source code
sp500dge Man page
sstdMomentAparch Source code
stableS0MomentAparch Source code
stableS1MomentAparch Source code
stableS1MomentPowerGarch Source code
stableS1SymmetricMomentAparch Source code
stableS1SymmetricMomentGarch Source code
stableS2MomentAparch Source code
stationarityAparch Source code
stdMomentAparch Source code
trueAparchMomentsWurtz Source code

Files

inst
inst/CITATION
inst/doc
inst/doc/bibliography.txt
NAMESPACE
data
data/dem2gbp.csv.gz
data/sp500dge.csv.gz
R
R/GEVStableGarch-stationarityAparch.R
R/class-GEVSTABLEGARCHSPEC.R
R/GEVStableGarch-fit.R
R/class-GEVSTABLEGARCH.R
R/GEVStableGarch-getFormula.R
R/dist-skstd.R
R/gevStableGarch-spec.R
R/GEVStableGarch-sim.R
R/GEVStableGarch-armaGarchDist.R
R/methods-show.R
R/GEVStableGarch-filter.R
R/dist-gat.R
R/GEVStableGarch-select.R
R/GEVStableGarch-package.R
R/GEVStableGarch-onAttach.R
R/GEVStableGarch-getOrder.R
R/GEVStableGarch-getStart.R
MD5
DESCRIPTION
ChangeLog
man
man/gsSpec.Rd
man/gsFit.Rd
man/class-GEVSTABLEGARCHSPEC.Rd
man/gsSelect.Rd
man/GEVStableGarch-package.Rd
man/dist-gat.Rd
man/data.Rd
man/dist-skstd.Rd
man/gsSim.Rd
man/class-GEVSTABLEGARCH.Rd
man/gsMomentAparch.Rd
man/show-methods.Rd
GEVStableGarch documentation built on May 19, 2017, 4:44 p.m.

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