betategarch: Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models

Share:

Simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models with leverage (one-component, two-component, skewed versions).

Author
Genaro Sucarrat
Date of publication
2016-10-16 20:09:51
Maintainer
Genaro Sucarrat <genaro.sucarrat@bi.no>
License
GPL-2
Version
3.3
URLs

View on CRAN

Man pages

betategarch-package
Simulation, estimation and forecasting of Beta-Skew-t-EGARCH...
coef.tegarch
Extraction methods for 'tegarch' objects
dST
The skewed t distribution
nasdaq
Daily Apple stock returns
predict.tegarch
Generate volatility forecasts _n_-steps ahead
tegarch
Estimate first order Beta-Skew-t-EGARCH models
tegarchLogl
Auxiliary functions
tegarchSim
Simulate from a first order Beta-Skew-t-EGARCH model

Files in this package

betategarch
betategarch/src
betategarch/src/betategarch.cpp
betategarch/NAMESPACE
betategarch/demo
betategarch/demo/betategarch.R
betategarch/demo/00Index
betategarch/NEWS
betategarch/data
betategarch/data/nasdaq.rda
betategarch/R
betategarch/R/residuals.tegarch.R
betategarch/R/coef.tegarch.R
betategarch/R/rST.R
betategarch/R/summary.tegarch.R
betategarch/R/print.tegarch.R
betategarch/R/STmean.R
betategarch/R/betategarch-internal.R
betategarch/R/STkurtosis.R
betategarch/R/predict.tegarch.R
betategarch/R/STskewness.R
betategarch/R/tegarchRecursion2.R
betategarch/R/tegarchLogl2.R
betategarch/R/tegarchLogl.R
betategarch/R/STvar.R
betategarch/R/tegarchRecursion.R
betategarch/R/dST.R
betategarch/R/tegarch.R
betategarch/R/fitted.tegarch.R
betategarch/R/tegarchSim.R
betategarch/R/logLik.tegarch.R
betategarch/R/vcov.tegarch.R
betategarch/MD5
betategarch/DESCRIPTION
betategarch/man
betategarch/man/predict.tegarch.Rd
betategarch/man/tegarchLogl.Rd
betategarch/man/dST.Rd
betategarch/man/nasdaq.Rd
betategarch/man/betategarch-package.Rd
betategarch/man/tegarchSim.Rd
betategarch/man/tegarch.Rd
betategarch/man/coef.tegarch.Rd