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fGarch (version 3010.82)

Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Description

Environment for teaching "Financial Engineering and Computational Finance"

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Version

Install

install.packages('fGarch')

Monthly Downloads

12,375

Version

3010.82

License

GPL (>= 2)

Maintainer

Yohan Chalabi

Last Published

May 1st, 2013

Functions in fGarch (3010.82)

ged

Generalized Error Distribution

gedSlider

Geeneralized Error Distribution Slider

fGARCH-class

Class "fGARCH"

fGarch-package

GARCH Modelling Package

fGARCHSPEC-class

Class "fGARCHSPEC"

sstd

Skew Student-t Distribution and Parameter Estimation

snorm

Skew Normal Distribution

sgedFit

Skew Generalized Error Distribution Parameter Estimation

coef-methods

GARCH Coefficients Methods

garchSim

Univariate GARCH/APARCH Time Series Simulation

garchFitControl

GARCH Fitting Algorithms and Control

summary-methods

GARCH Summary Methods

snormFit

Skew Normal Distribution Parameter Estimation

stdSlider

Student-t Distribution Slider

sstdSlider

Skew Student-t Distribution Slider

sged

Skew Generalized Error Distribution

predict-methods

GARCH Prediction Function

absMoments

Absolute Moments of GARCH Distributions

show-methods

GARCH Modelling Show Methods

std

Student-t Distribution

snormSlider

Skew Normal Distribution Slider

garchSpec

Univariate GARCH Time Series Specification

gedFit

Generalized Error Distribution Parameter Estimation

formula-methods

Extract GARCH Model formula

plot-methods

GARCH Plot Methods

TimeSeriesData

Time Series Data Sets

garchFit

Univariate GARCH Time Series Fitting

residuals-methods

Extract GARCH Model Residuals

sstdFit

Skew Student-t Distribution Parameter Estimation

fitted-methods

Extract GARCH Model Fitted Values

stdFit

Student-t Distribution Parameter Estimation

sgedSlider

Skew GED Distribution Slider

volatility-methods

Extract GARCH Model Volatility