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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
Version
1.1
1.0
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Install
install.packages('GEVStableGarch')
Monthly Downloads
22
Version
1.1
License
GPL (>= 2)
Maintainer
Thiago do Rego Sousa
Last Published
August 20th, 2015
Functions in GEVStableGarch (1.1)
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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