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betategarch (version 3.4)

Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models

Description

Simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models with leverage (one-component, two-component, skewed versions).

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Version

Install

install.packages('betategarch')

Monthly Downloads

542

Version

3.4

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

March 26th, 2025

Functions in betategarch (3.4)

predict.tegarch

Generate volatility forecasts n-steps ahead
betategarch-package

Simulation, estimation and forecasting of Beta-Skew-t-EGARCH models
dST

The skewed t distribution
tegarchLogl

Auxiliary functions
tegarch

Estimate first order Beta-Skew-t-EGARCH models
nasdaq

Daily Apple stock returns
coef.tegarch

Extraction methods for 'tegarch' objects
tegarchSim

Simulate from a first order Beta-Skew-t-EGARCH model