fGarch: Rmetrics - Modelling Autoregressive Conditional Heteroskedasticity

Environment for teaching "Financial Engineering and Computational Finance"

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)

View on R-Forge

Man pages

00fGarch-package: Modelling Heterskedasticity in Financial Time Series

class-fGARCH: Class "fGARCH"


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


absMoments Man page
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
dsged Man page
dsnorm Man page
dsstd Man page
dstd Man page
fGarch Man page
fGARCH-class Man page
fGarch-package Man page
fGARCHSPEC-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
fUGARCHSPEC-class Man page
garchFit Man page
garchFitControl Man page
garchKappa Man page
garchSim Man page
garchSpec Man page
ged Man page
gedFit Man page
gedSlider Man page
pged Man page
plot,ANY,ANY-method Man page
plot,fGARCH,missing-method Man page
plot-methods Man page
predict,ANY-method Man page
predict,fGARCH-method Man page
predict-methods Man page
psged Man page
psnorm Man page
psstd Man page
pstd Man page
qged Man page
qsged Man page
qsnorm Man page
qsstd Man page
qstd Man page
residuals,ANY-method Man page
residuals,fGARCH-method Man page
residuals-methods Man page
rged Man page
rsged Man page
rsnorm Man page
rsstd Man page
rstd Man page
sged Man page
sgedFit Man page
sgedSlider Man page
show,ANY-method Man page
show,fGARCH-method Man page
show,fGARCHSPEC-method Man page
show-methods Man page
snorm Man page
snormFit Man page
snormSlider Man page
sp500dge Man page
sstd Man page
sstdFit Man page
sstdSlider Man page
std Man page
stdFit Man page
stdSlider Man page
summary,ANY-method Man page
summary,fGARCH-method Man page
summary-methods Man page
TimeSeriesData Man page
update,fGARCH-method Man page
update,fGARCHSPEC-method Man page
volatility,ANY-method Man page
volatility.fGARCH Man page
volatility,fGARCH-method Man page
volatility-methods Man page


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
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/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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.