Environment for teaching "Financial Engineering and Computational Finance".
| Author | Diethelm Wuertz and Yohan Chalabi with contribution from Michal Miklovic, Chris Boudt, Pierre Chausse and others |
| Date of publication | 2016-08-15 11:29:20 |
| Maintainer | Yohan Chalabi <yohan.chalabi@rmetrics.org> |
| License | GPL (>= 2) |
| Version | 3010.82.1 |
| URL | http://www.rmetrics.org |
| Package repository | View on CRAN |
| Installation | Install the latest version of this package by entering the following in R:
|
All man pages Function index File listing
Man pages | |
|---|---|
| 00fGarch-package: GARCH Modelling Package | |
| class-fGARCH: Class "fGARCH" | |
| class-fGARCHSPEC: Class "fGARCHSPEC" | |
| data: Time Series Data Sets | |
| dist-absMoments: Absolute Moments of GARCH Distributions | |
| dist-ged: Generalized Error Distribution | |
| dist-gedFit: Generalized Error Distribution Parameter Estimation | |
| dist-gedSlider: Geeneralized Error Distribution Slider | |
| dist-sged: Skew Generalized Error Distribution | |
| dist-sgedFit: Skew Generalized Error Distribution Parameter Estimation | |
| dist-sgedSlider: Skew GED Distribution Slider | |
| dist-snorm: Skew Normal Distribution | |
| dist-snormFit: Skew Normal Distribution Parameter Estimation | |
| dist-snormSlider: Skew Normal Distribution Slider | |
| dist-sstd: Skew Student-t Distribution and Parameter Estimation | |
| dist-sstdFit: Skew Student-t Distribution Parameter Estimation | |
| dist-sstdSlider: Skew Student-t Distribution Slider | |
| dist-std: Student-t Distribution | |
| dist-stdFit: Student-t Distribution Parameter Estimation | |
| dist-stdSlider: Student-t Distribution Slider | |
| garchFit: Univariate GARCH Time Series Fitting | |
| garchFitControl: GARCH Fitting Algorithms and Control | |
| garchSim: Univariate GARCH/APARCH Time Series Simulation | |
| garchSpec: Univariate GARCH Time Series Specification | |
| methods-coef: GARCH Coefficients Methods | |
| methods-fitted: Extract GARCH Model Fitted Values | |
| methods-formula: Extract GARCH Model formula | |
| methods-plot: GARCH Plot Methods | |
| methods-predict: GARCH Prediction Function | |
| methods-residuals: Extract GARCH Model Residuals | |
| methods-show: GARCH Modelling Show Methods | |
| methods-summary: GARCH Summary Methods | |
| methods-volatility: Extract GARCH Model Volatility | |
Functions | |
|---|---|
| QMLECondDist | Source code |
| TimeSeriesData | Man page |
| absMoments | Man page Source code |
| aparchLLH.filter | Source code |
| aparchLLH.internal | Source code |
| aparchLLH.testing | Source code |
| coef,ANY-method | Man page |
| coef,fGARCH-method | Man page |
| coef,fGARCHSPEC-method | Man page |
| coef-methods | Man page |
| dem2gbp | Man page |
| dged | Man page Source code |
| dsged | Man page Source code Source code |
| dsnorm | Man page Source code Source code |
| dsstd | Man page Source code Source code |
| dstd | Man page Source code |
| fGARCH-class | Man page |
| fGARCHSPEC-class | Man page |
| fGarch | Man page |
| fGarch-package | Man page |
| fUGARCHSPEC-class | Man page |
| fitted,ANY-method | Man page |
| fitted,fGARCH-method | Man page |
| fitted-methods | Man page |
| formula,ANY-method | Man page |
| formula,fGARCH-method | Man page |
| formula-methods | Man page |
| garchArgsParser | Source code |
| garchFit | Man page Source code Source code |
| garchFitControl | Man page Source code |
| garchInitParameters | Source code |
| garchInitSeries | Source code |
| garchKappa | Man page Source code |
| garchKappaFun | Source code |
| garchLLH | Source code |
| garchModelSeries | Source code |
| garchNames | Source code |
| garchOptimizeLLH | Source code |
| garchOptimizerControl | Source code |
| garchRCDAGradient | Source code |
| garchRCDAHessian | Source code |
| garchRlbfgsb | Source code |
| garchRnlminb | Source code |
| garchRnm | Source code |
| garchRoptimhess | Source code |
| garchSetCondDist | Source code |
| garchSim | Man page Source code |
| garchSpec | Man page Source code |
| garchTSHessian | Source code |
| ged | Man page |
| gedCondDist | Source code |
| gedFit | Man page Source code Source code |
| gedSlider | Man page Source code |
| getfGarchEnv | Source code |
| gogarchFit | Source code |
| hessian2sided | Source code |
| multGarchPlot | Source code |
| normCondDist | Source code |
| nteractiveGarchPlot | Source code |
| pged | Man page Source code |
| plot,ANY,ANY-method | Man page |
| plot,fGARCH,missing-method | Man page |
| plot-methods | Man page |
| plot.garch.1 | Source code |
| plot.garch.10 | Source code |
| plot.garch.11 | Source code |
| plot.garch.12 | Source code |
| plot.garch.13 | Source code |
| plot.garch.2 | Source code |
| plot.garch.3 | Source code |
| plot.garch.4 | Source code |
| plot.garch.5 | Source code |
| plot.garch.6 | Source code |
| plot.garch.7 | Source code |
| plot.garch.8 | Source code |
| plot.garch.9 | Source code |
| predict,ANY-method | Man page |
| predict,fGARCH-method | Man page |
| predict-methods | Man page |
| psged | Man page Source code Source code |
| psnorm | Man page Source code Source code |
| psstd | Man page Source code Source code |
| pstd | Man page Source code |
| qged | Man page Source code |
| qqDist | Source code |
| qqLine | Source code |
| qsged | Man page Source code Source code |
| qsnorm | Man page Source code Source code |
| qsstd | Man page Source code Source code |
| qstd | Man page Source code |
| residuals,ANY-method | Man page |
| residuals,fGARCH-method | Man page |
| residuals-methods | Man page |
| rged | Man page Source code |
| rsged | Man page Source code Source code |
| rsnorm | Man page Source code Source code |
| rsstd | Man page Source code Source code |
| rstd | Man page Source code |
| setfGarchEnv | Source code |
| sged | Man page |
| sgedCondDist | Source code |
| sgedFit | Man page Source code Source code |
| sgedSlider | Man page Source code |
| show,ANY-method | Man page |
| show,fGARCH-method | Man page |
| show,fGARCHSPEC-method | Man page |
| show-methods | Man page |
| snigCondDist | Source code |
| snorm | Man page |
| snormCondDist | Source code |
| snormFit | Man page Source code Source code |
| snormSlider | Man page Source code |
| sp500dge | Man page |
| sstd | Man page |
| sstdCondDist | Source code |
| sstdFit | Man page Source code Source code |
| sstdSlider | Man page Source code |
| std | Man page |
| stdCondDist | Source code |
| stdFit | Man page Source code Source code |
| stdSlider | Man page Source code |
| summary,ANY-method | Man page |
| summary,fGARCH-method | Man page |
| summary-methods | Man page |
| truePersistence | Source code |
| ugarchFit | Source code |
| ugarchSpec | Source code |
| update,fGARCH-method | Man page |
| update,fGARCHSPEC-method | Man page |
| volatility,ANY-method | Man page |
| volatility,fGARCH-method | Man page |
| volatility-methods | Man page |
| volatility.fGARCH | Man page |
Files | |
|---|---|
|
inst
| |
|
inst/THANKS
| |
|
inst/COPYRIGHT.html
| |
|
inst/unitTests
| |
|
inst/unitTests/Makefile
| |
| inst/unitTests/runit.garch-methods.R | |
| inst/unitTests/runit.garchSim.R | |
| inst/unitTests/runit.garchSolver.R | |
| inst/unitTests/runit.garchSpec.R | |
| inst/unitTests/runit.predict-methods.R | |
| inst/unitTests/runit.snorm.R | |
| inst/unitTests/runit.garchFit.dist.R | |
| inst/unitTests/runit.garchFit.algorithm.R | |
| inst/unitTests/runit.sged.R | |
| inst/unitTests/runit.garchFit.faked.R | |
| inst/unitTests/runit.plot-methods.R | |
| inst/unitTests/runit.sstd.R | |
| inst/unitTests/runit.garchFit.init.R | |
| inst/unitTests/runit.garchHessian.R | |
| inst/unitTests/runTests.R | |
| inst/unitTests/runit.garchFit.aparch.R | |
| inst/unitTests/runit.garchFit.garch.R | |
| inst/unitTests/runit.formula-methods.R | |
| inst/unitTests/runit.garchFit.R | |
|
tests
| |
| tests/doRUnit.R | |
|
src
| |
|
src/Makevars
| |
|
src/dist.f
| |
|
src/math.f
| |
|
src/llhGarch.f
| |
|
NAMESPACE
| |
|
data
| |
|
data/dem2gbp.csv.gz
| |
|
data/sp500dge.csv.gz
| |
|
R
| |
| R/loglik-aparch.R | |
| R/class-fGARCHSPEC.R | |
| R/dist-snorm.R | |
| R/dist-stdFit.R | |
| R/fGarch-package.R | |
| R/garch-SolverControl.R | |
| R/garch-Solver.R | |
| R/methods-fitted.R | |
| R/methods-formula.R | |
| R/dist-sgedFit.R | |
| R/garch-Initialization.R | |
| R/mgarch-FitFromFormula.R | |
| R/garch-Hessian.R | |
| R/garch-FitFromSpec.R | |
| R/methods-plot.R | |
| R/dist-gedFit.R | |
| R/dist-absMoments.R | |
| R/methods-residuals.R | |
| R/garch-GlobalVars.R | |
| R/garch-FitInternal.R | |
| R/fGarchEnv.R | |
| R/dist-gedSlider.R | |
| R/dist-ged.R | |
| R/garch-Gradient.R | |
| R/loglik.R | |
| R/methods-summary.R | |
| R/garch-FitFromFormula.R | |
| R/dist-sstdSlider.R | |
| R/dist-snormSlider.R | |
| R/methods-predict.R | |
| R/loglik-egarch.R | |
| R/dist-sstdFit.R | |
| R/garch-Spec.R | |
| R/methods-show.R | |
| R/methods-coef.R | |
| R/dist-sged.R | |
| R/dist-sstd.R | |
| R/dist-sgedSlider.R | |
| R/class-fGARCH.R | |
| R/dist-stdSlider.R | |
| R/dist-std.R | |
| R/garch-Sim.R | |
| R/dist-snormFit.R | |
| R/garch-Stats.R | |
| R/garch-Distribution.R | |
| R/methods-volatility.R | |
| R/zzz.R | |
| R/methods-update.R | |
|
MD5
| |
|
DESCRIPTION
| |
|
ChangeLog
| |
|
man
| |
| man/methods-show.Rd | |
| man/dist-sgedFit.Rd | |
| man/dist-stdFit.Rd | |
| man/methods-summary.Rd | |
| man/dist-gedSlider.Rd | |
| man/dist-ged.Rd | |
| man/dist-snormFit.Rd | |
| man/methods-coef.Rd | |
| man/garchFitControl.Rd | |
| man/dist-sgedSlider.Rd | |
| man/garchFit.Rd | |
| man/methods-formula.Rd | |
| man/class-fGARCHSPEC.Rd | |
| man/methods-plot.Rd | |
| man/dist-sstd.Rd | |
| man/methods-predict.Rd | |
| man/dist-snorm.Rd | |
| man/dist-std.Rd | |
| man/dist-snormSlider.Rd | |
| man/garchSim.Rd | |
| man/dist-sstdFit.Rd | |
| man/dist-sstdSlider.Rd | |
| man/data.Rd | |
| man/dist-gedFit.Rd | |
| man/methods-fitted.Rd | |
| man/dist-stdSlider.Rd | |
| man/class-fGARCH.Rd | |
| man/dist-absMoments.Rd | |
| man/methods-residuals.Rd | |
| man/00fGarch-package.Rd | |
| man/garchSpec.Rd | |
| man/dist-sged.Rd | |
| man/methods-volatility.Rd | |
Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
Please suggest features or report bugs in the GitHub issue tracker.
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