extradistfun: Functions exported for use in rmgarch

In rugarch: Univariate GARCH Models

Functions exported for use in rmgarch

Description

Quantile for NIG and GH distributions in alpha, beta, delta, mu and lambda parametrizations.

Usage

qnig(p, alpha = 1, beta = 0, delta = 1, mu = 0)
qgh(p, alpha = 1, beta = 0, delta = 1, mu = 0, lambda = 1)

Arguments

p	Probabilities
alpha	parameter in alpha, beta, delta, mu, lambda parametrization of the gh distribution.
beta	parameter in alpha, beta, delta, mu, lambda parametrization of the gh distribution.
delta	parameter in alpha, beta, delta, mu, lambda parametrization of the gh distribution.
mu	parameter in alpha, beta, delta, mu, lambda parametrization of the gh distribution.
lambda	parameter in alpha, beta, delta, mu, lambda parametrization of the gh distribution.

Details

For use internally by rmgarch.

Value

A vector

Author(s)

Alexios Galanos

rugarch documentation built on Sept. 30, 2024, 9:30 a.m.