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AutoSEARCH (version 1.0)

Automated Financial Modelling

Description

Automated multi-path General-to-Specific (GETS) model selection of the mean and volatility specification of a power log-ARCH model

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Version

Install

install.packages('AutoSEARCH')

Monthly Downloads

46

Version

1.0

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

November 7th, 2011

Functions in AutoSEARCH (1.0)

ewma

Equally Weighted Moving Average (EWMA) of the pth. exponentiated residuals
gedlogl

Log-likelihood of a standardised Generalised Error Distribution (GED)
regs.mean.sm

Creates the regressors of the mean specification of a SEARCH model
ols.fit2

Fast and accurate OLS estimation by means of QR decomposition
gets.mean

General-to-Specific (GETS) model selection of the mean specification
info.criterion

Computes the the value of an information criterion
ols.fit1

Fast and accurate OLS estimation by means of QR decomposition
sm

Estimates a SEARCH model
gets.vol

General-to-Specific (GETS) model selection of the log-volatility specification of a SEARCH model
gLag

Lag a series
regs.vol.sm

Creates the regressors of the log-volatility specification of a SEARCH model
gedestp

Estimates the shape parameter of a standardised Generalised Error Distribution (GED)
jb.test

Jarque-Bera test for normality
gLog.ep

Adjust for zero values and compute log[abs(e)^p]
AutoSEARCH-package

General-to-Specific (GETS) Model selection
skewness.test

Chi-square test skewness in the standardised residuals