fEGarch_predict,fEGarch_fit_egarch-method

fEGarch_predict,fEGarch_fit_loggarch-method

fEGarch_predict,fEGarch_fit_aparch-method

fEGarch_predict,fEGarch_fit_fiaparch-method

fEGarch_predict,fEGarch_fit_gjrgarch-method

fEGarch_predict,fEGarch_fit_figjrgarch-method

fEGarch_predict,fEGarch_fit_tgarch-method

fEGarch_predict,fEGarch_fit_fitgarch-method

fEGarch_predict,fEGarch_fit_garch-method

fEGarch_predict,fEGarch_fit_figarch-method

predict_internal,fEGarch_fit-method

Produces forecasts of the conditional standard deviation
(and of the conditional mean) following package's models.
These methods are not being exported and are used internally
only.

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

fEGarch_predict,fEGarch_fit_egarch-method function

<dl><dt>object</dt>
<dd>these methods are not being exported.</dd>
<dt>n.ahead</dt>
<dd>these methods are not being exported.</dd>
<dt>trunc</dt>
<dd>these methods are not being exported.</dd>
<dt>...</dt>
<dd>these methods are not being exported.</dd></dl>

Arguments

Prediction Methods for Package's Models — fEGarch_predict,fEGarch_fit_egarch-method

<dl>

<dt>object</dt>
<dd>these methods are not being exported.</dd>


<dt>n.ahead</dt>
<dd>these methods are not being exported.</dd>


<dt>trunc</dt>
<dd>these methods are not being exported.</dd>


<dt>...</dt>
<dd>these methods are not being exported.</dd>

</dl>

Prediction Methods for Package's Models

fEGarch_predict,fEGarch_fit_egarch-method: Prediction Methods for Package's Models

Description

Usage

Value

Arguments