Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

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Documentation for package ‘fGarch’ version 4033.92

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fGarch-package Modelling heterskedasticity in financial time series
.gogarchFit Univariate or multivariate GARCH time series fitting
.ugarchFit Class 'fUGARCHSPEC'
.ugarchSpec Class 'fUGARCHSPEC'
absMoments Absolute moments of GARCH distributions
coef GARCH coefficients methods
coef-method GARCH coefficients methods
coef-methods GARCH coefficients methods
dem2gbp Time series datasets
dged Standardized generalized error distribution
dsged Skew generalized error distribution
dsnorm Skew normal distribution
dsstd Skew Student-t distribution
dstd Standardized Student-t distribution
ES Compute Value-at-Risk (VaR) and expected shortfall (ES)
ES.fGARCH Compute Value-at-Risk (VaR) and expected shortfall (ES)
fGarch Modelling heterskedasticity in financial time series
fGARCH-class Class "fGARCH"
fGarchData Time series datasets
fGARCHSPEC-class Class "fGARCHSPEC"
fitted Extract GARCH model fitted values
fitted-method Extract GARCH model fitted values
fitted-methods Extract GARCH model fitted values
formula Extract GARCH model formula
formula-method Extract GARCH model formula
formula-methods Extract GARCH model formula
fUGARCHSPEC-class Class 'fUGARCHSPEC'
garchFit Univariate or multivariate GARCH time series fitting
garchFitControl Control GARCH fitting algorithms
garchKappa Univariate or multivariate GARCH time series fitting
garchSim Simulate univariate GARCH/APARCH time series
garchSpec Univariate GARCH/APARCH time series specification
ged Standardized generalized error distribution
gedFit Generalized error distribution parameter estimation
gedSlider Generalized error distribution slider
pged Standardized generalized error distribution
plot GARCH plot methods
plot-method GARCH plot methods
plot-methods GARCH plot methods
predict GARCH prediction function
predict-method GARCH prediction function
predict-methods GARCH prediction function
psged Skew generalized error distribution
psnorm Skew normal distribution
psstd Skew Student-t distribution
pstd Standardized Student-t distribution
qged Standardized generalized error distribution
qsged Skew generalized error distribution
qsnorm Skew normal distribution
qsstd Skew Student-t distribution
qstd Standardized Student-t distribution
residuals Extract GARCH model residuals
residuals-method Extract GARCH model residuals
residuals-methods Extract GARCH model residuals
rged Standardized generalized error distribution
rsged Skew generalized error distribution
rsnorm Skew normal distribution
rsstd Skew Student-t distribution
rstd Standardized Student-t distribution
sged Skew generalized error distribution
sgedFit Skew generalized error distribution parameter estimation
sgedSlider Skew GED distribution slider
show-method Class "fGARCH"
show-method Class "fGARCHSPEC"
snorm Skew normal distribution
snormFit Skew normal distribution parameter estimation
snormSlider Skew normal distribution slider
sp500dge Time series datasets
sstd Skew Student-t distribution
sstdFit Skew Student-t distribution parameter estimation
sstdSlider Skew Student-t distribution slider
stats-tsdiag Diagnostic plots and statistics for fitted GARCH models
std Standardized Student-t distribution
stdFit Student-t distribution parameter estimation
stdSlider Student-t distribution slider
summary GARCH summary methods
summary-method GARCH summary methods
summary-methods GARCH summary methods
tsdiag Diagnostic plots and statistics for fitted GARCH models
tsdiag.fGARCH Diagnostic plots and statistics for fitted GARCH models
update-method Class "fGARCH"
update-method Class "fGARCHSPEC"
VaR Compute Value-at-Risk (VaR) and expected shortfall (ES)
VaR.fGARCH Compute Value-at-Risk (VaR) and expected shortfall (ES)
volatility Extract GARCH model volatility
volatility.fGARCH Extract GARCH model volatility