Nothing
R/class-fEGarch_fit.R
In fEGarch: SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions
Defines functions
fEGarch_fit_rugarch_wrapper
fEGarch_fit_figarch
fEGarch_fit_garch
fEGarch_fit_tgarch
fEGarch_fit_fitgarch
fEGarch_fit_gjrgarch
fEGarch_fit_figjrgarch
fEGarch_fit_aparch
fEGarch_fit_fiaparch
fEGarch_fit_loggarch
fEGarch_fit_egarch
setClass("fEGarch_fit",
slots = c(
pars = "numeric",
se = "numeric",
vcov_mat = "matrix",
rt = "ANY",
cmeans = "ANY",
sigt = "ANY",
etat = "ANY",
scale_fun = "ANY",
llhood = "numeric",
inf_criteria = "numeric",
cond_dist = "character",
orders = "numeric",
long_memo = "logical",
meanspec = "mean_spec",
test_obs = "ANY",
nonpar_model = "ANY",
trunc = "ANY"
),
prototype = list(
pars = numeric(1),
se = numeric(1),
vcov_mat = matrix(numeric(1)),
rt = numeric(1),
cmeans = numeric(1),
sigt = numeric(1),
etat = numeric(1),
scale_fun = numeric(1),
llhood = numeric(1),
inf_criteria = numeric(1),
cond_dist = character(1),
orders = numeric(1),
long_memo = logical(1),
meanspec = mean_spec(),
test_obs = numeric(1),
nonpar_model = numeric(1),
trunc = numeric(1)
)
)
setClass("fEGarch_fit_egarch",
contains = "fEGarch_fit",
slots = c(
powers = "numeric",
modulus = "logical"
),
prototype = list(
orders = numeric(1),
modulus = logical(1)
)
)
setClass("fEGarch_fit_loggarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_fiaparch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_aparch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_figjrgarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_gjrgarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_fitgarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_tgarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_garch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_figarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_rugarch_wrapper",
contains = "fEGarch_fit",
slots = c(
rugarch_model = "ANY",
model = "character"
),
prototype = list(
rugarch_model = numeric(1),
model = character(1)
)
)
fEGarch_fit_egarch <- function(
pars,
se,
vcov_mat,
rt,
cmeans,
sigt,
etat,
scale_fun,
llhood,
inf_criteria,
cond_dist,
orders,
powers,
modulus,
long_memo,
meanspec,
test_obs,
nonpar_model,
trunc
) {
new("fEGarch_fit_egarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
cmeans = cmeans,
sigt = sigt,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
powers = powers,
modulus = modulus,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_loggarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_loggarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_fiaparch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_fiaparch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_aparch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_aparch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_figjrgarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_figjrgarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_gjrgarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_gjrgarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_fitgarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_fitgarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_tgarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_tgarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_garch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_garch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_figarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_figarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_rugarch_wrapper <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
rugarch_model,
model,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_rugarch_wrapper",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
rugarch_model = rugarch_model,
model = model,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
#================================================#
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fEGarch documentation built on Sept. 11, 2025, 5:11 p.m.
R Package Documentation
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Defines functions fEGarch_fit_rugarch_wrapper fEGarch_fit_figarch fEGarch_fit_garch fEGarch_fit_tgarch fEGarch_fit_fitgarch fEGarch_fit_gjrgarch fEGarch_fit_figjrgarch fEGarch_fit_aparch fEGarch_fit_fiaparch fEGarch_fit_loggarch fEGarch_fit_egarch
setClass("fEGarch_fit",
slots = c(
pars = "numeric",
se = "numeric",
vcov_mat = "matrix",
rt = "ANY",
cmeans = "ANY",
sigt = "ANY",
etat = "ANY",
scale_fun = "ANY",
llhood = "numeric",
inf_criteria = "numeric",
cond_dist = "character",
orders = "numeric",
long_memo = "logical",
meanspec = "mean_spec",
test_obs = "ANY",
nonpar_model = "ANY",
trunc = "ANY"
),
prototype = list(
pars = numeric(1),
se = numeric(1),
vcov_mat = matrix(numeric(1)),
rt = numeric(1),
cmeans = numeric(1),
sigt = numeric(1),
etat = numeric(1),
scale_fun = numeric(1),
llhood = numeric(1),
inf_criteria = numeric(1),
cond_dist = character(1),
orders = numeric(1),
long_memo = logical(1),
meanspec = mean_spec(),
test_obs = numeric(1),
nonpar_model = numeric(1),
trunc = numeric(1)
)
)
setClass("fEGarch_fit_egarch",
contains = "fEGarch_fit",
slots = c(
powers = "numeric",
modulus = "logical"
),
prototype = list(
orders = numeric(1),
modulus = logical(1)
)
)
setClass("fEGarch_fit_loggarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_fiaparch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_aparch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_figjrgarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_gjrgarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_fitgarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_tgarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_garch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_figarch",
contains = "fEGarch_fit"
)
setClass("fEGarch_fit_rugarch_wrapper",
contains = "fEGarch_fit",
slots = c(
rugarch_model = "ANY",
model = "character"
),
prototype = list(
rugarch_model = numeric(1),
model = character(1)
)
)
fEGarch_fit_egarch <- function(
pars,
se,
vcov_mat,
rt,
cmeans,
sigt,
etat,
scale_fun,
llhood,
inf_criteria,
cond_dist,
orders,
powers,
modulus,
long_memo,
meanspec,
test_obs,
nonpar_model,
trunc
) {
new("fEGarch_fit_egarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
cmeans = cmeans,
sigt = sigt,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
powers = powers,
modulus = modulus,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_loggarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_loggarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_fiaparch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_fiaparch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_aparch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_aparch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_figjrgarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_figjrgarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_gjrgarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_gjrgarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_fitgarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_fitgarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_tgarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_tgarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_garch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_garch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_figarch <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_figarch",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
fEGarch_fit_rugarch_wrapper <- function(
pars,
se,
vcov_mat,
rt,
sigt,
cmeans,
etat,
llhood,
inf_criteria,
cond_dist,
orders,
long_memo,
rugarch_model,
model,
meanspec,
test_obs,
scale_fun,
nonpar_model,
trunc
) {
new("fEGarch_fit_rugarch_wrapper",
pars = pars,
se = se,
vcov_mat = vcov_mat,
rt = rt,
sigt = sigt,
cmeans = cmeans,
etat = etat,
llhood = llhood,
inf_criteria = inf_criteria,
cond_dist = cond_dist,
orders = orders,
long_memo = long_memo,
rugarch_model = rugarch_model,
model = model,
meanspec = meanspec,
test_obs = test_obs,
scale_fun = scale_fun,
nonpar_model = nonpar_model,
trunc = trunc
)
}
#================================================#
Try the fEGarch package in your browser
Any scripts or data that you put into this service are public.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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