fGarch: Rmetrics - Modelling Autoregressive Conditional Heteroskedasticity
Version 3010.82

Environment for teaching "Financial Engineering and Computational Finance"

Browse man pages Browse package API and functions Browse package files

AuthorRmetrics Core Team, Diethelm Wuertz [aut], Tobias Setz [cre], Chris Boudt [ctb], Yohan Chalabi [ctb], Pierre Chausse [ctb], Michal Miklovac [ctb]
Date of publication2015-01-06 12:24:11
MaintainerTobias Setz <tobias.setz@rmetrics.org>
LicenseGPL (>= 2)
Version3010.82
URL https://www.rmetrics.org
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("fGarch", repos="http://R-Forge.R-project.org")

Man pages

00fGarch-package: Modelling Heterskedasticity in Financial Time Series
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

Functions

QMLECondDist Source code
TimeSeriesData Man page
absMoments Man page Source code
aparchLLH.filter Source code
aparchLLH.internal Source code
aparchLLH.testing Source code
coef,ANY-method Man page
coef,fGARCH-method Man page
coef,fGARCHSPEC-method Man page
coef-methods Man page
dem2gbp Man page
dged Man page Source code
dsged Man page Source code Source code
dsnorm Man page Source code Source code
dsstd Man page Source code Source code
dstd Man page Source code
fGARCH-class Man page
fGARCHSPEC-class Man page
fGarch Man page
fGarch-package Man page
fUGARCHSPEC-class Man page
fitted,ANY-method Man page
fitted,fGARCH-method Man page
fitted-methods Man page
formula,ANY-method Man page
formula,fGARCH-method Man page
formula-methods Man page
garchArgsParser Source code
garchFit Man page Source code Source code
garchFitControl Man page Source code
garchInitParameters Source code
garchInitSeries Source code
garchKappa Man page Source code
garchKappaFun Source code
garchLLH Source code
garchModelSeries Source code
garchNames Source code
garchOptimizeLLH Source code
garchOptimizerControl Source code
garchRCDAGradient Source code
garchRCDAHessian Source code
garchRlbfgsb Source code
garchRnlminb Source code
garchRnm Source code
garchRoptimhess Source code
garchSetCondDist Source code
garchSim Man page Source code
garchSpec Man page Source code
garchTSHessian Source code
ged Man page
gedCondDist Source code
gedFit Man page Source code Source code
gedSlider Man page Source code
getfGarchEnv Source code
gogarchFit Source code
hessian2sided Source code
multGarchPlot Source code
normCondDist Source code
nteractiveGarchPlot Source code
onAttach Source code
pged Man page Source code
plot,ANY,ANY-method Man page
plot,fGARCH,missing-method Man page
plot-methods Man page
plot.garch.1 Source code
plot.garch.10 Source code
plot.garch.11 Source code
plot.garch.12 Source code
plot.garch.13 Source code
plot.garch.2 Source code
plot.garch.3 Source code
plot.garch.4 Source code
plot.garch.5 Source code
plot.garch.6 Source code
plot.garch.7 Source code
plot.garch.8 Source code
plot.garch.9 Source code
predict,ANY-method Man page
predict,fGARCH-method Man page
predict-methods Man page
psged Man page Source code Source code
psnorm Man page Source code Source code
psstd Man page Source code Source code
pstd Man page Source code
qged Man page Source code
qqDist Source code
qqLine Source code
qsged Man page Source code Source code
qsnorm Man page Source code Source code
qsstd Man page Source code Source code
qstd Man page Source code
residuals,ANY-method Man page
residuals,fGARCH-method Man page
residuals-methods Man page
rged Man page Source code
rsged Man page Source code Source code
rsnorm Man page Source code Source code
rsstd Man page Source code Source code
rstd Man page Source code
setfGarchEnv Source code
sged Man page
sgedCondDist Source code
sgedFit Man page Source code Source code
sgedSlider Man page Source code
show,ANY-method Man page
show,fGARCH-method Man page
show,fGARCHSPEC-method Man page
show-methods Man page
snigCondDist Source code
snorm Man page
snormCondDist Source code
snormFit Man page Source code Source code
snormSlider Man page Source code
sp500dge Man page
sstd Man page
sstdCondDist Source code
sstdFit Man page Source code Source code
sstdSlider Man page Source code
std Man page
stdCondDist Source code
stdFit Man page Source code Source code
stdSlider Man page Source code
summary,ANY-method Man page
summary,fGARCH-method Man page
summary-methods Man page
truePersistence Source code
ugarchFit Source code
ugarchSpec Source code
update,fGARCH-method Man page
update,fGARCHSPEC-method Man page
volatility,ANY-method Man page
volatility,fGARCH-method Man page
volatility-methods Man page
volatility.fGARCH Man page

Files

ChangeLog
DESCRIPTION
NAMESPACE
R
R/class-fGARCH.R
R/class-fGARCHSPEC.R
R/dist-absMoments.R
R/dist-ged.R
R/dist-gedFit.R
R/dist-gedSlider.R
R/dist-sged.R
R/dist-sgedFit.R
R/dist-sgedSlider.R
R/dist-snorm.R
R/dist-snormFit.R
R/dist-snormSlider.R
R/dist-sstd.R
R/dist-sstdFit.R
R/dist-sstdSlider.R
R/dist-std.R
R/dist-stdFit.R
R/dist-stdSlider.R
R/fGarch-package.R
R/fGarchEnv.R
R/garch-Distribution.R
R/garch-FitFromFormula.R
R/garch-FitFromSpec.R
R/garch-FitInternal.R
R/garch-GlobalVars.R
R/garch-Gradient.R
R/garch-Hessian.R
R/garch-Initialization.R
R/garch-Sim.R
R/garch-Solver.R
R/garch-SolverControl.R
R/garch-Spec.R
R/garch-Stats.R
R/loglik-aparch.R
R/loglik-egarch.R
R/loglik.R
R/methods-coef.R
R/methods-fitted.R
R/methods-formula.R
R/methods-plot.R
R/methods-predict.R
R/methods-residuals.R
R/methods-show.R
R/methods-summary.R
R/methods-update.R
R/methods-volatility.R
R/mgarch-FitFromFormula.R
R/zzz.R
data
data/dem2gbp.csv.gz
data/sp500dge.csv.gz
inst
inst/THANKS
inst/unitTests
inst/unitTests/Makefile
inst/unitTests/runTests.R
inst/unitTests/runit.formula-methods.R
inst/unitTests/runit.garch-methods.R
inst/unitTests/runit.garchFit.R
inst/unitTests/runit.garchFit.algorithm.R
inst/unitTests/runit.garchFit.aparch.R
inst/unitTests/runit.garchFit.dist.R
inst/unitTests/runit.garchFit.faked.R
inst/unitTests/runit.garchFit.garch.R
inst/unitTests/runit.garchFit.init.R
inst/unitTests/runit.garchHessian.R
inst/unitTests/runit.garchSim.R
inst/unitTests/runit.garchSolver.R
inst/unitTests/runit.garchSpec.R
inst/unitTests/runit.plot-methods.R
inst/unitTests/runit.predict-methods.R
inst/unitTests/runit.sged.R
inst/unitTests/runit.snorm.R
inst/unitTests/runit.sstd.R
man
man/00fGarch-package.Rd
man/class-fGARCH.Rd
man/class-fGARCHSPEC.Rd
man/data.Rd
man/dist-absMoments.Rd
man/dist-ged.Rd
man/dist-gedFit.Rd
man/dist-gedSlider.Rd
man/dist-sged.Rd
man/dist-sgedFit.Rd
man/dist-sgedSlider.Rd
man/dist-snorm.Rd
man/dist-snormFit.Rd
man/dist-snormSlider.Rd
man/dist-sstd.Rd
man/dist-sstdFit.Rd
man/dist-sstdSlider.Rd
man/dist-std.Rd
man/dist-stdFit.Rd
man/dist-stdSlider.Rd
man/garchFit.Rd
man/garchFitControl.Rd
man/garchSim.Rd
man/garchSpec.Rd
man/methods-coef.Rd
man/methods-fitted.Rd
man/methods-formula.Rd
man/methods-plot.Rd
man/methods-predict.Rd
man/methods-residuals.Rd
man/methods-show.Rd
man/methods-summary.Rd
man/methods-volatility.Rd
src
src/Makevars
src/dist.f
src/llhGarch.f
src/math.f
tests
tests/doRUnit.R
fGarch documentation built on May 21, 2017, 2:37 a.m.