fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Environment for teaching "Financial Engineering and Computational Finance".

AuthorDiethelm Wuertz and Yohan Chalabi with contribution from Michal Miklovic, Chris Boudt, Pierre Chausse and others
Date of publication2016-08-15 11:29:20
MaintainerYohan Chalabi <yohan.chalabi@rmetrics.org>
LicenseGPL (>= 2)
Version3010.82.1
http://www.rmetrics.org

View on CRAN

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

Files in this package

fGarch
fGarch/inst
fGarch/inst/THANKS
fGarch/inst/COPYRIGHT.html
fGarch/inst/unitTests
fGarch/inst/unitTests/Makefile
fGarch/inst/unitTests/runit.garch-methods.R
fGarch/inst/unitTests/runit.garchSim.R
fGarch/inst/unitTests/runit.garchSolver.R
fGarch/inst/unitTests/runit.garchSpec.R
fGarch/inst/unitTests/runit.predict-methods.R
fGarch/inst/unitTests/runit.snorm.R
fGarch/inst/unitTests/runit.garchFit.dist.R
fGarch/inst/unitTests/runit.garchFit.algorithm.R
fGarch/inst/unitTests/runit.sged.R
fGarch/inst/unitTests/runit.garchFit.faked.R
fGarch/inst/unitTests/runit.plot-methods.R
fGarch/inst/unitTests/runit.sstd.R
fGarch/inst/unitTests/runit.garchFit.init.R
fGarch/inst/unitTests/runit.garchHessian.R
fGarch/inst/unitTests/runTests.R
fGarch/inst/unitTests/runit.garchFit.aparch.R
fGarch/inst/unitTests/runit.garchFit.garch.R
fGarch/inst/unitTests/runit.formula-methods.R
fGarch/inst/unitTests/runit.garchFit.R
fGarch/tests
fGarch/tests/doRUnit.R
fGarch/src
fGarch/src/Makevars
fGarch/src/dist.f
fGarch/src/math.f
fGarch/src/llhGarch.f
fGarch/NAMESPACE
fGarch/data
fGarch/data/dem2gbp.csv.gz
fGarch/data/sp500dge.csv.gz
fGarch/R
fGarch/R/loglik-aparch.R fGarch/R/class-fGARCHSPEC.R fGarch/R/dist-snorm.R fGarch/R/dist-stdFit.R fGarch/R/fGarch-package.R fGarch/R/garch-SolverControl.R fGarch/R/garch-Solver.R fGarch/R/methods-fitted.R fGarch/R/methods-formula.R fGarch/R/dist-sgedFit.R fGarch/R/garch-Initialization.R fGarch/R/mgarch-FitFromFormula.R fGarch/R/garch-Hessian.R fGarch/R/garch-FitFromSpec.R fGarch/R/methods-plot.R fGarch/R/dist-gedFit.R fGarch/R/dist-absMoments.R fGarch/R/methods-residuals.R fGarch/R/garch-GlobalVars.R fGarch/R/garch-FitInternal.R fGarch/R/fGarchEnv.R fGarch/R/dist-gedSlider.R fGarch/R/dist-ged.R fGarch/R/garch-Gradient.R fGarch/R/loglik.R fGarch/R/methods-summary.R fGarch/R/garch-FitFromFormula.R fGarch/R/dist-sstdSlider.R fGarch/R/dist-snormSlider.R fGarch/R/methods-predict.R fGarch/R/loglik-egarch.R fGarch/R/dist-sstdFit.R fGarch/R/garch-Spec.R fGarch/R/methods-show.R fGarch/R/methods-coef.R fGarch/R/dist-sged.R fGarch/R/dist-sstd.R fGarch/R/dist-sgedSlider.R fGarch/R/class-fGARCH.R fGarch/R/dist-stdSlider.R fGarch/R/dist-std.R fGarch/R/garch-Sim.R fGarch/R/dist-snormFit.R fGarch/R/garch-Stats.R fGarch/R/garch-Distribution.R fGarch/R/methods-volatility.R fGarch/R/zzz.R fGarch/R/methods-update.R
fGarch/MD5
fGarch/DESCRIPTION
fGarch/ChangeLog
fGarch/man
fGarch/man/methods-show.Rd fGarch/man/dist-sgedFit.Rd fGarch/man/dist-stdFit.Rd fGarch/man/methods-summary.Rd fGarch/man/dist-gedSlider.Rd fGarch/man/dist-ged.Rd fGarch/man/dist-snormFit.Rd fGarch/man/methods-coef.Rd fGarch/man/garchFitControl.Rd fGarch/man/dist-sgedSlider.Rd fGarch/man/garchFit.Rd fGarch/man/methods-formula.Rd fGarch/man/class-fGARCHSPEC.Rd fGarch/man/methods-plot.Rd fGarch/man/dist-sstd.Rd fGarch/man/methods-predict.Rd fGarch/man/dist-snorm.Rd fGarch/man/dist-std.Rd fGarch/man/dist-snormSlider.Rd fGarch/man/garchSim.Rd fGarch/man/dist-sstdFit.Rd fGarch/man/dist-sstdSlider.Rd fGarch/man/data.Rd fGarch/man/dist-gedFit.Rd fGarch/man/methods-fitted.Rd fGarch/man/dist-stdSlider.Rd fGarch/man/class-fGARCH.Rd fGarch/man/dist-absMoments.Rd fGarch/man/methods-residuals.Rd fGarch/man/00fGarch-package.Rd fGarch/man/garchSpec.Rd fGarch/man/dist-sged.Rd fGarch/man/methods-volatility.Rd

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