pit.tsgarch.estimate

Calculates and returns the conditional probability integral
transform given the data and estimated density

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

Alexios Ghalanos

tsgarch

Univariate GARCH Models

Alexios Galanos

pit.tsgarch.estimate function

<dl><dt>object</dt>
<dd>an object.</dd>
<dt>...</dt>
<dd>not currently used.</dd></dl>

Arguments

Probability Integral Transform (PIT) — pit.tsgarch.estimate

<dl>

<dt>object</dt>
<dd>an object.</dd>


<dt>...</dt>
<dd>not currently used.</dd>

</dl>

pit.tsgarch.estimate: Probability Integral Transform (PIT)

Description

Usage

Value

Arguments

Details