fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

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
URLs

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