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GEVStableGarch (version 1.1)

ARMA-GARCH/APARCH Models with GEV and Stable Distributions

Description

Package for simulation and estimation of ARMA-GARCH/APARCH models with GEV and stable distributions.

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Version

Install

install.packages('GEVStableGarch')

Monthly Downloads

9

Version

1.1

License

GPL (>= 2)

Maintainer

Thiago do Rego Sousa

Last Published

August 20th, 2015

Functions in GEVStableGarch (1.1)

GEVStableGarch-package

ARMA-GARCH/APARCH modelling with GEV and stable distributions
gat

Generalized Asymmetric t Distribution
GEVSTABLEGARCH-class

Class "GEVSTABLEGARCH"
show-methods

GEVSTABLEGARCH Package Show Methods
GEVSTABLEGARCHSPEC-class

Class "GEVSTABLEGARCHSPEC"
gsFit

Estimation of ARMA-GARCH/APARCH models
gsSpec

Specification of ARMA-GARCH/APARCH models with GEV or stable distributions
Datasets

Time Series Data Sets
gsMomentAparch

Computation of moments for several conditional distribution
skstd

Skew Student's t Distribtuion from Fernandez and Steel (1997)
gsSelect

Selects the best model according to goodness-of-fit criteria
gsSim

Simulation of ARMA-GARCH/APARCH process