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tsgarch (version 1.0.3)

Univariate GARCH Models

Description

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

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Install

install.packages('tsgarch')

Monthly Downloads

370

Version

1.0.3

License

GPL-2

Issues

0

Pull Requests

0

Stars

14

Forks

1

Maintainer

Alexios Ghalanos

Last Published

October 12th, 2024

Functions in tsgarch (1.0.3)

pit.tsgarch.estimate

Probability Integral Transform (PIT)
nloptr_fast_options

Default options for nloptr solver
tsprofile.tsgarch.spec

Model Parameter Profiling
unconditional.tsgarch.estimate

Unconditional Value
plot.tsgarch.newsimpact

News Impact Plot
tsbacktest.tsgarch.spec

Walk Forward Rolling Backtest
tsequation.tsgarch.estimate

Model Equation (LaTeX)
tsgarch-package

tsgarch: Univariate GARCH Models
print.summary.tsgarch.profile

Profile Summary Print method
tsfilter.tsgarch.estimate

Model Filtering
predict.tsgarch.estimate

Model Prediction
simulate.tsgarch.spec

Model Simulation
vcov.tsgarch.estimate

The Covariance Matrix of the Estimated Parameters
print.summary.tsgarch.estimate

Model Estimation Summary Print method
summary.tsgarch.estimate

GARCH Model Estimation Summary
reexports

Objects exported from other packages
+.tsgarch.spec

Combine univariate GARCH specifications into a multi-specification object
nobs.tsgarch.estimate

Extract the Number of Observations
summary.tsgarch.profile

GARCH Profile Summary
plot.tsgarch.estimate

Estimated Model Plots
to_multi_estimate

Convert a list of tsgarch.estimate objects to a multi_estimate object
persistence

Model Persistence
residuals.tsgarch.estimate

Extract Model Residuals
sigma.tsgarch.estimate

Extract Volatility (Conditional Standard Deviation)
as_flextable.benchmark.laurent

Transform an object into flextable
as_flextable.summary.tsgarch.estimate

Transform a summary object into flextable
confint.tsgarch.estimate

Confidence Intervals for Model Parameters
bread.tsgarch.estimate

Bread Method
coef.tsgarch.estimate

Extract Model Coefficients
benchmark_fcp

FCP GARCH Benchmark
estimate.tsgarch.spec

Estimates an GARCH model given a specification object using maximum likelihood and autodiff
garch_modelspec

GARCH Model Specification
benchmark_laurent

Laurent APARCH Benchmark
estfun.tsgarch.estimate

Score Method
fitted.tsgarch.estimate

Extract Model Fitted Values
dmbp

Deutschemark/British pound Exchange Rate
newsimpact

News Impact Curve
omega

Omega (Variance Equation Intercept)
nikkei

Japanese NIKKEI Stock Index
halflife.tsgarch.estimate

Half Life
logLik.tsgarch.estimate

Extract Log-Likelihood
AIC.tsgarch.estimate

Akaike's An Information Criterion
BIC.tsgarch.estimate

Bayesian Information Criterion