spec_methods

orders,base_garch_spec-method

powers,egarch_type_spec-method

long_memo,base_garch_spec-method

modulus,egarch_type_spec-method

cond_dist,base_garch_spec-method

orders&lt;-,base_garch_spec-method

powers&lt;-,egarch_type_spec-method

long_memo&lt;-,base_garch_spec-method

modulus&lt;-,egarch_type_spec-method

cond_dist&lt;-,base_garch_spec-method

Access and change elements in objects of class <code>"egarch_spec"</code>.
The method names represent the name of the element to access /
manipulate.

Implement and fit a variety of short-memory (SM) and long-memory
(LM) models from a very broad family of exponential generalized autoregressive
conditional heteroskedasticity (EGARCH) models, such as a MEGARCH (modified
EGARCH), FIEGARCH (fractionally integrated EGARCH), FIMLog-GARCH (fractionally
integrated modulus Log-GARCH), and more. The FIMLog-GARCH as part of the
EGARCH family is discussed in Feng et al. (2023)
<https://econpapers.repec.org/paper/pdnciepap/156.htm>. For convenience and
the purpose of comparison, a variety of other popular SM and LM GARCH-type
models, like an APARCH model, a fractionally integrated
APARCH (FIAPARCH) model, standard GARCH and fractionally integrated GARCH
(FIGARCH) models, GJR-GARCH and FIGJR-GARCH models, TGARCH and FITGARCH
models, are implemented as well as dual models with simultaneous modelling of
the mean, including dual long-memory models with a fractionally integrated
autoregressive moving average (FARIMA) model in the mean and a long-memory
model in the variance, and semiparametric volatility model extensions.
Parametric models and parametric model parts are fitted through
quasi-maximum-likelihood estimation.
Furthermore, common forecasting and backtesting functions for value-at-risk
(VaR) and expected shortfall (ES) based on the package's models are provided.

Dominik Schulz

fEGarch

SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions

Yuanhua Feng

Christian Peitz

Oliver Kojo Ayensu

Thomas Gries

Sikandar Siddiqui

Shujie Li

spec_methods function

<dl><dt>x</dt>
<dd>the input object or object to modify.</dd>
<dt>value</dt>
<dd>the value to modify the object <code>x</code> with.</dd></dl>

Arguments

Accessors for Classes "base_garch_spec" and "egarch_spec" — spec_methods

<dl>

<dt>x</dt>
<dd>the input object or object to modify.</dd>


<dt>value</dt>
<dd>the value to modify the object <code>x</code> with.</dd>

</dl>

Accessors for Classes <code>"base_garch_spec"</code> and <code>"egarch_spec"</code>

spec_methods: Accessors for Classes `"base_garch_spec"` and `"egarch_spec"`

Description

Usage

Value

Arguments

Details

Examples