Man pages for fEGarch
SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions
| accessor_methods | Methods for Accessing Model Estimation and Forecasting Output... |
| accessor_methods_distr_est | Methods for Accessing Distribution Estimation Elements |
| aparch | APARCH Model Fitting |
| aparch_sim | Simulate From APARCH Models |
| autoplot-fEGarch_fit-method | Plot Method for Fitting Step Results in the Style of ggplot2 |
| autoplot-fEGarch_risk-method | Plotting of Risk Measure Results ('ggplot2') |
| backtest-generics | Generics for backtests |
| backtest-tests | Backtesting VaR and ES |
| close_to_lreturn | Log-Return Calculation From Closing Prices |
| distribution_estimation | MLE for Distribution Fitting |
| fEGarch | Fitting Function for Models of the Broader EGARCH Family |
| fEGarch_fit | Generic for Fitting EGARCH Family Models |
| fEGarch_fit-egarch_type_spec-method | Fitting Method for Type I EGARCH-Family Models |
| fEGarch_fit-loggarch_type_spec-method | Fitting Method for Type II EGARCH-Family Models |
| fEGarch-package | Estimation of a Broad Family of EGARCH Models |
| fEGarch_sim | Simulate From Models of the Broader EGARCH Family |
| fEGarch_spec | General EGARCH Family Model Specification |
| fEGarch-subspecs | Subspecification of EGARCH Family Models |
| fiaparch | FIAPARCH Model Fitting |
| fiaparch_sim | Simulate From FIAPARCH Models |
| figarch | FIGARCH Model Fitting |
| figarch_sim | Simulate From FIGARCH Models |
| figjrgarch | FIGJR-GARCH Model Fitting |
| figjrgarch_sim | Simulate From FIGJR-GARCH Models |
| find_dist | Optimal Distribution Fitting to IID Data |
| fitgarch | FITGARCH Model Fitting |
| fitgarch_sim | Simulate From FITGARCH Models |
| fitted | Extract Fitted Conditional Means |
| fitted_object_generics | Generics for Accessing Model Estimation Output Elements |
| fit-test-generics | Goodness-of-Fit Test Generics |
| fit_test_suite-fEGarch_fit-method | Post-Estimation Fit-Tests |
| forecasting-generics | Generics for Forecasts |
| forecasting-methods | Multistep and Rolling Point Forecasts |
| forecasting-model-methods | Prediction Methods for Package's Models |
| garch | GARCH Model Fitting |
| garchm_estim | General GARCH-Type Model Estimation |
| garch_sim | Simulate From GARCH Models |
| gjrgarch | GJR-GARCH Model Fitting |
| gjrgarch_sim | Simulate From GJR-GARCH Models |
| goodn_of_fit_test-fEGarch_fit-method | Adjusted Pearson Goodness-of-Fit Test for Standardized Model... |
| ljung_box_test-fEGarch_fit-method | Weighted Ljung-Box Test for Autocorrelation |
| locpol_spec | Specification of Nonparametric Local Polynomial Models |
| locpol_spec_methods | Accessors for Class '"locpol_spec"' |
| loss_functions | Generic for Loss Function Calculation |
| loss_functions-fEGarch_risk-method | Loss Function Calculation |
| mean_spec | Specification of Conditional Mean Models |
| mean_spec_methods | Accessors for Class '"mean_spec"' |
| measure_risk | VaR and ES Computation Following Fitted Models or Forecasts |
| nonpar-generics | Generics for Nonparametric Smoothing Setting Adjustments |
| plot | S4 Plot Generic |
| plot-fEGarch_fit-ANY-method | Plot Method for Showing Fitting Step Results |
| plot-fEGarch_risk-ANY-method | Plotting of Risk Measure Results (Base R) |
| reexports | Objects exported from other packages |
| residuals | Extract Standardized Residuals |
| rugarch_wrappers | Wrapper Functions for Selected 'rugarch' GARCH Models |
| show-methods | Show Method for Estimation Output |
| sigma | Extract Fitted Conditional Standard Deviations |
| sign_bias_test-fEGarch_fit-method | Sign Bias Test |
| sim_functions | Sampling Functions for Innovations |
| SP500 | Daily Log-Returns of the S&P 500 |
| spec_generics | Generics for Model Specification Accessors |
| spec_methods | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
| submodel-specs | EGARCH Family Submodel Specification |
| tgarch | TGARCH Model Fitting |
| tgarch_sim | Simulate From TGARCH Models |
| UKinflation | Monthly Inflation Rate of the UK |
| VaR-ES-Calculation | VaR and ES Computation for Standardized Distributions |
