uvGARCH: Univariate GARCH Model
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description Usage Arguments Details Value Author(s) See Also

Specify and fit a univariate GARCH model

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uvGARCH(R, model = "sGARCH", garchOrder = c(1, 1), armaOrder = c(1, 1),
  distribution = "norm", fixedParams = NULL, solver = "hybrid",
  outSample = 0, fitControl = NULL, solverControl = NULL)

`R`	xts object of asset returns.
`model`	GARCH Model to specify and fit. Valid GARCH models are "sGARCH", "fGARCH", "eGARCH", "gjrGARCH", "apARCH", "iGARCH", and "csGARCH".
`garchOrder`	the ARCH(q) and GARCH(p) orders.
`armaOrder`	the autoregressive and moving average orders.
`distribution`	conditional density to use for the innovations. Valid distributions are "norm" for the normal distibution, "snorm" for the skew-normal distribution, "std" for the student-t, "sstd for the skew-student, "ged" for the generalized error distribution, "sged" for the skew-generalized error distribution, "nig" for the normal inverse gaussian distribution, "ghyp" for the Generalized Hyperbolic, and "jsu" for Johnson's SU distribution.
`fixedParams`	named list of parameters to keep fixed.
`solver`	the solver to use to fit the GARCH model. Valid solvers are "nlminb", "solnp", "lbfgs", "gosolnp", "nloptr", or "hybrid".
`outSample`	number of periods of data used to fit the model. `nrow(R) - outSample` number of periods to keep as out of sample data points.
`fitControl`	named list of arguments for the fitting routine
`solverControl`	named list of arguments for the solver

This function is a basic wrapper of functions in the rugarch package to specify and fit GARCH models. The rugarch package provides functions to specify and fit a rich set of GARCH models. The purpose of this function is to specify and fit a GARCH model while abstracting away some complexities.

a list of length two containing GARCH specification and GARCH fit objects

Ross Bennett

ugarchspec, ugarchfit

GARPFRM documentation built on May 2, 2019, 5:45 p.m.