Man pages for fGarch
Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
| 00fGarch-package | Modelling heterskedasticity in financial time series |
| class-fGARCH | Class "fGARCH" - fitted ARMA-GARCH/APARCH models |
| class-fGARCHSPEC | Class "fGARCHSPEC" |
| class-fUGARCHSPEC | Class 'fUGARCHSPEC' |
| dist-absMoments | Absolute moments of GARCH distributions |
| dist-ged | Standardized generalized error distribution |
| dist-gedFit | Generalized error distribution parameter estimation |
| dist-sged | Skew generalized error distribution |
| dist-sgedFit | Skew generalized error distribution parameter estimation |
| dist-Slider | Visualise skew normal, (skew) Student-t and (skew) GED... |
| dist-snorm | Skew normal distribution |
| dist-snormFit | Skew normal distribution parameter estimation |
| dist-sstd | Skew Student-t distribution |
| dist-sstdFit | Skew Student-t distribution parameter estimation |
| dist-std | Standardized Student-t distribution |
| dist-stdFit | Student-t distribution parameter estimation |
| fGarchData | Time series datasets |
| garchFit | Fit univariate and multivariate GARCH-type models |
| garchFitControl | Control GARCH fitting algorithms |
| garchSim | Simulate univariate GARCH/APARCH time series |
| garchSpec | Univariate GARCH/APARCH 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-summary | fGARCH method for the summary function |
| methods-volatility | Extract GARCH model volatility |
| VaR | Compute Value-at-Risk (VaR) and expected shortfall (ES) |
