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betategarch (version 3.3)
Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models
Description
Simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models with leverage (one-component, two-component, skewed versions).
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Install
install.packages('betategarch')
Monthly Downloads
343
Version
3.3
License
GPL-2
Maintainer
Genaro Sucarrat
Last Published
October 16th, 2016
Functions in betategarch (3.3)
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betategarch-package
Simulation, estimation and forecasting of Beta-Skew-t-EGARCH models
coef.tegarch
Extraction methods for 'tegarch' objects
dST
The skewed t distribution
tegarchLogl
Auxiliary functions
tegarchSim
Simulate from a first order Beta-Skew-t-EGARCH model
nasdaq
Daily Apple stock returns
tegarch
Estimate first order Beta-Skew-t-EGARCH models
predict.tegarch
Generate volatility forecasts
n
-steps ahead