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)
Version3010.82
https://www.rmetrics.org

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

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