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betategarch (version 2.0)

Estimation and simulation of first-order Beta-t-EGARCH models

Description

Estimation and simulation of first-order Beta-t-EGARCH models (one-component, two-component, skewed versions).

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Version

Install

install.packages('betategarch')

Monthly Downloads

542

Version

2.0

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

May 27th, 2013

Functions in betategarch (2.0)

tegarch.est

Estimates a first order Beta-skew-t-EGARCH model
tegarch.recursion2

Recursion of the two-component Beta-skew-t-EGARCH model
apple

Daily Apple stock returns
dst

Skewed t density
tegarch.logl

Log-likelihood function of the one-component Beta-skew-t-EGARCH model
betategarch-package

Estimation and simulation of Beta-t-EGARCH models
tegarch.sim2

Simulate from a first order two-component Beta-skew-t-EGARCH model
tegarch.recursion

Recursion of the one-component Beta-skew-t-EGARCH model
st.mean

Compute mean of a skewed t variable
rst

Random number generator for the skewed t distribution
tegarch.fit

Compute the fitted values
tegarch.sim

Simulate from a first order one-component Beta-skew-t-EGARCH model
tegarch.logl2

Log-likelihood function of the two-component Beta-skew-t-EGARCH model