RRegArch: General univariate ARCH models simulation and estimation
Version 1.0.0

Different conditional means, conditional variances and conditional residuals models.

AuthorOllivier Taramasco, Franck Bitard
Date of publication2016-05-02 18:50:48
MaintainerOllivier Taramasco <Ollivier.Taramasco@imag.fr>
LicenseGPL (>=2)
Version1.0.0
URL http://www.r-project.org
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("RRegArch", repos="http://R-Forge.R-project.org")

Popular man pages

ARGARCHData: A sample of 1000 AR-GARCH observations
meanSet: Set model conditional mean
modelSet: Set model for general regression with ARCH type residuals
RegArchFit: Fit the parameters of a general regression with ARCH type...
RegArchSim: Simulation of the model
residualsSet: Set conditional residuals for the model
varSet: Set conditional variance for general regression with ARCH...
See all...

All man pages Function index File listing

Man pages

ARGARCHData: A sample of 1000 AR-GARCH observations
meanSet: Set model conditional mean
modelSet: Set model for general regression with ARCH type residuals
NormData: A sample of 1000 N(2, 1) observations
RegArchFit: Fit the parameters of a general regression with ARCH type...
RegArchSim: Simulation of the model
residualsSet: Set conditional residuals for the model
varSet: Set conditional variance for general regression with ARCH...

Functions

ARGARCHData Man page
AsymptoticCovMat Source code
GetNParam Source code
GetNParam.RegArchModelClass Source code
GetNParam.condMeanClass Source code
GetNParam.condResidualsClass Source code
GetNParam.condVarClass Source code
GetNParam.default Source code
NormData Man page
RegArchFit Man page Source code
RegArchFitClass Man page
RegArchGradLLH Source code
RegArchLLH Source code
RegArchModelClass Man page
RegArchParamToVector Source code
RegArchParamToVector.APARCHClass Source code
RegArchParamToVector.ARCHClass Source code
RegArchParamToVector.ARClass Source code
RegArchParamToVector.ConstMeanClass Source code
RegArchParamToVector.ConstVarClass Source code
RegArchParamToVector.EGARCHClass Source code
RegArchParamToVector.GARCHClass Source code
RegArchParamToVector.LinRegClass Source code
RegArchParamToVector.MAClass Source code
RegArchParamToVector.RegArchModelClass Source code
RegArchParamToVector.StdInMeanClass Source code
RegArchParamToVector.TARCHClass Source code
RegArchParamToVector.VarInMeanClass Source code
RegArchParamToVector.condMeanClass Source code
RegArchParamToVector.condVarClass Source code
RegArchParamToVector.normalClass Source code
RegArchParamToVector.studentClass Source code
RegArchSim Man page Source code
SetInitPoint Source code
VectorToRegArchParam Source code
VectorToRegArchParam.APARCHClass Source code
VectorToRegArchParam.ARCHClass Source code
VectorToRegArchParam.ARClass Source code
VectorToRegArchParam.ConstMeanClass Source code
VectorToRegArchParam.ConstVarClass Source code
VectorToRegArchParam.EGARCHClass Source code
VectorToRegArchParam.GARCHClass Source code
VectorToRegArchParam.LinRegClass Source code
VectorToRegArchParam.MAClass Source code
VectorToRegArchParam.RegArchModelClass Source code
VectorToRegArchParam.StdInMeanClass Source code
VectorToRegArchParam.TARCHClass Source code
VectorToRegArchParam.VarInMeanClass Source code
VectorToRegArchParam.condMeanClass Source code
VectorToRegArchParam.normalClass Source code
VectorToRegArchParam.studentClass Source code
aPARCHSet Source code
aRCHSet Source code
aRSet Source code
condMeanClass Man page
condResidualsClass Man page
condVarClass Man page
constMeanSet Source code
constVarSet Source code
eGARCHSet Source code
gARCHSet Source code
linRegSet Source code
mASet Source code
meanSet Man page Source code
modelSet Man page Source code
namesParam Source code
namesParam.APARCHClass Source code
namesParam.ARCHClass Source code
namesParam.ARClass Source code
namesParam.ConstMeanClass Source code
namesParam.ConstVarClass Source code
namesParam.EGARCHClass Source code
namesParam.GARCHClass Source code
namesParam.LinRegClass Source code
namesParam.MAClass Source code
namesParam.RegArchModelClass Source code
namesParam.StdInMeanClass Source code
namesParam.TARCHClass Source code
namesParam.VarInMeanClass Source code
namesParam.condMeanClass Source code
namesParam.condResidualsClass Source code
namesParam.condVarClass Source code
namesParam.normalClass Source code
namesParam.studentClass Source code
normalSet Source code
optimfn Source code
optimgr Source code
print.APARCHClass Source code
print.ARCHClass Source code
print.ARClass Source code
print.ConstMeanClass Source code
print.ConstVarClass Source code
print.EGARCHClass Source code
print.GARCHClass Source code
print.LinRegClass Source code
print.MAClass Source code
print.RegArchFitClass Man page Source code
print.RegArchModelClass Man page Source code
print.StdInMeanClass Source code
print.TARCHClass Source code
print.VarInMeanClass Source code
print.condMeanClass Man page Source code
print.condResidualsClass Man page Source code
print.condVarClass Man page Source code
print.normalClass Source code
print.studentClass Source code
print.summary.RegArchFitClass Man page Source code
residualsSet Man page Source code
setStorageMode Source code
setStorageMode.APARCHClass Source code
setStorageMode.ARCHClass Source code
setStorageMode.ARClass Source code
setStorageMode.CondVarClass Source code
setStorageMode.ConstMeanClass Source code
setStorageMode.ConstVarClass Source code
setStorageMode.EGARCHClass Source code
setStorageMode.GARCHClass Source code
setStorageMode.LinRegClass Source code
setStorageMode.MAClass Source code
setStorageMode.RegArchModelClass Source code
setStorageMode.RegArchResidualsClass Source code
setStorageMode.StdInMeanClass Source code
setStorageMode.TARCHClass Source code
setStorageMode.VarInMeanClass Source code
setStorageMode.condMeanClass Source code
setStorageMode.normalClass Source code
setStorageMode.studentClass Source code
stdInMeanSet Source code
studentSet Source code
summary.RegArchFitClass Man page Source code
tARCHSet Source code
varInMeanSet Source code
varSet Man page Source code

Files

DESCRIPTION
INSTALL
NAMESPACE
R
R/RRegArch.R
R/RRegArchInternals.R
README
data
data/ARGARCHData.RData
data/NormData.RData
man
man/ARGARCHData.rd
man/NormData.rd
man/RegArchFit.rd
man/RegArchSim.rd
man/meanSet.rd
man/modelSet.rd
man/residualsSet.rd
man/varSet.rd
src
src/Makevars
src/Makevars.win
src/RGslMatrixEquiv.cpp
src/RGslMatrixEquiv.h
src/RGslRandistEquiv.h
src/RGslVectorEquiv.cpp
src/RGslVectorEquiv.h
src/RRegArch.cpp
src/RRegArch.h
src/RRegArchDynload.cpp
src/RegArchCompute.cpp
src/RegArchCompute.h
src/RegArchDef.h
src/RegArchMeanInclude.h
src/RegArchOptim.cpp
src/RegArchOptim.h
src/RegArchOptimParams.cpp
src/RegArchOptimParams.h
src/RegArchResidualsInclude.h
src/RegArchVarInclude.h
src/cAbstCondMean.cpp
src/cAbstCondMean.h
src/cAbstCondVar.cpp
src/cAbstCondVar.h
src/cAbstResiduals.cpp
src/cAbstResiduals.h
src/cAparch.cpp
src/cAparch.h
src/cAr.cpp
src/cAr.h
src/cArch.cpp
src/cArch.h
src/cCondMean.cpp
src/cCondMean.h
src/cCondResiduals.h
src/cCondVar.h
src/cConst.cpp
src/cConst.h
src/cConstCondVar.cpp
src/cConstCondVar.h
src/cEgarch.cpp
src/cEgarch.h
src/cGSLError.cpp
src/cGSLError.h
src/cGSLMatrix.cpp
src/cGSLMatrix.h
src/cGSLMultiMin.cpp
src/cGSLMultiMin.h
src/cGSLOptim.cpp
src/cGSLOptim.h
src/cGSLSiman.cpp
src/cGSLSiman.h
src/cGSLUtils.cpp
src/cGSLUtils.h
src/cGSLVector.cpp
src/cGSLVector.h
src/cGarch.cpp
src/cGarch.h
src/cLinReg.cpp
src/cLinReg.h
src/cMa.cpp
src/cMa.h
src/cNormResiduals.cpp
src/cNormResiduals.h
src/cRUtils.cpp
src/cRUtils.h
src/cRegArchError.cpp
src/cRegArchError.h
src/cRegArchGradient.cpp
src/cRegArchGradient.h
src/cRegArchParam.cpp
src/cRegArchParam.h
src/cRegArchStream.cpp
src/cRegArchStream.h
src/cRegArchValue.cpp
src/cRegArchValue.h
src/cStdDevInMean.cpp
src/cStdDevInMean.h
src/cStudentResiduals.cpp
src/cStudentResiduals.h
src/cTarch.cpp
src/cTarch.h
src/cVarInMean.cpp
src/cVarInMean.h
RRegArch documentation built on May 21, 2017, 12:57 a.m.

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