fGarch: Rmetrics - Modelling Autoregressive Conditional Heteroskedasticity

Environment for teaching "Financial Engineering and Computational Finance"

Author
Rmetrics Core Team, Diethelm Wuertz [aut], Tobias Setz [cre], Chris Boudt [ctb], Yohan Chalabi [ctb], Pierre Chausse [ctb], Michal Miklovac [ctb]
Date of publication
2015-01-06 12:24:11
Maintainer
Tobias Setz <tobias.setz@rmetrics.org>
License
GPL (>= 2)
Version
3010.82
URLs

View on R-Forge

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

Files in this package

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