NEWS.md

In sebinum/baqgarchutil: Analyse a Fitted baqGARCH Model

baqgarchutil 0.3.0

The first release-version ofbaqgarchutil!

Package structure

• baq_nifunction - takes a mGJR-class object from mgarchBEKK::mGJR and applies a news impact function function. It returns a baq_nif-class object containing the relevant parameters and the impacted covariances matrices
• baq_niplot - takes a baq_nif-class object and creates a visual interpretation of the results
• mv_ch_tests - wrapper function for several tests to identify conditional heteroscedasticity in multivariate time series.
• diag_mv_ch_model is a wrapper function for several residual diagnostic tests to determine model fit / adequacy
• diag_std_et (and diag_std_et_cnd) - functions to transform a time series (and it's conditional covariance matrices) to standardized series employed in mv_ch_tests and diag_mv_ch_model, also called in the following diag_dufour_roy-function
• diag_ljung_box - the Ljung-Box Test Statistic for serial correlation in uni- and multivariate time series (used in the above mentioned wrapper functions)
• diag_dufour_roy - the Rank-Based Test Statistic for serial correlation in uni- and multivariate time series (used in the above mentioned wrapper functions)

sebinum/baqgarchutil documentation built on May 8, 2019, 11:58 p.m.