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

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

Author
Thiago Sousa [aut, cre], Cira Otiniano [ctb], Silvia Lopes [ctb], Diethelm Wuertz [ctb, cph]
Date of publication
2015-08-20 10:39:40
Maintainer
Thiago Sousa <thiagoestatistico@gmail.com>
License
GPL (>= 2)
Version
1.1

View on CRAN

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

Files in this package

GEVStableGarch
GEVStableGarch/inst
GEVStableGarch/inst/CITATION
GEVStableGarch/inst/doc
GEVStableGarch/inst/doc/bibliography.txt
GEVStableGarch/NAMESPACE
GEVStableGarch/data
GEVStableGarch/data/dem2gbp.csv.gz
GEVStableGarch/data/sp500dge.csv.gz
GEVStableGarch/R
GEVStableGarch/R/GEVStableGarch-stationarityAparch.R
GEVStableGarch/R/class-GEVSTABLEGARCHSPEC.R
GEVStableGarch/R/GEVStableGarch-fit.R
GEVStableGarch/R/class-GEVSTABLEGARCH.R
GEVStableGarch/R/GEVStableGarch-getFormula.R
GEVStableGarch/R/dist-skstd.R
GEVStableGarch/R/gevStableGarch-spec.R
GEVStableGarch/R/GEVStableGarch-sim.R
GEVStableGarch/R/GEVStableGarch-armaGarchDist.R
GEVStableGarch/R/methods-show.R
GEVStableGarch/R/GEVStableGarch-filter.R
GEVStableGarch/R/dist-gat.R
GEVStableGarch/R/GEVStableGarch-select.R
GEVStableGarch/R/GEVStableGarch-package.R
GEVStableGarch/R/GEVStableGarch-onAttach.R
GEVStableGarch/R/GEVStableGarch-getOrder.R
GEVStableGarch/R/GEVStableGarch-getStart.R
GEVStableGarch/MD5
GEVStableGarch/DESCRIPTION
GEVStableGarch/ChangeLog
GEVStableGarch/man
GEVStableGarch/man/gsSpec.Rd
GEVStableGarch/man/gsFit.Rd
GEVStableGarch/man/class-GEVSTABLEGARCHSPEC.Rd
GEVStableGarch/man/gsSelect.Rd
GEVStableGarch/man/GEVStableGarch-package.Rd
GEVStableGarch/man/dist-gat.Rd
GEVStableGarch/man/data.Rd
GEVStableGarch/man/dist-skstd.Rd
GEVStableGarch/man/gsSim.Rd
GEVStableGarch/man/class-GEVSTABLEGARCH.Rd
GEVStableGarch/man/gsMomentAparch.Rd
GEVStableGarch/man/show-methods.Rd