Univariate GARCH Models
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Documentation for package ‘tsgarch’ version 1.0.2
Help Pages
| AIC | Akaike's An Information Criterion |
| AIC.tsgarch.estimate | Akaike's An Information Criterion |
| as_flextable.benchmark | Transform an object into flextable |
| as_flextable.benchmark.fcp | Transform an object into flextable |
| as_flextable.benchmark.laurent | Transform an object into flextable |
| as_flextable.summary.tsgarch.estimate | Transform a summary object into flextable |
| benchmark_fcp | FCP GARCH Benchmark |
| benchmark_laurent | Laurent APARCH Benchmark |
| BIC | Bayesian Information Criterion |
| BIC.tsgarch.estimate | Bayesian Information Criterion |
| bread.tsgarch.estimate | Bread Method |
| coef | Extract Model Coefficients |
| coef.tsgarch.estimate | Extract Model Coefficients |
| confint | Confidence Intervals for Model Parameters |
| confint.tsgarch.estimate | Confidence Intervals for Model Parameters |
| dmbp | Deutschemark/British pound Exchange Rate |
| estfun.tsgarch.estimate | Score Method |
| estimate | Estimates an GARCH model given a specification object using maximum likelihood and autodiff |
| estimate.tsgarch.spec | Estimates an GARCH model given a specification object using maximum likelihood and autodiff |
| fitted | Extract Model Fitted Values |
| fitted.tsgarch.estimate | Extract Model Fitted Values |
| garch_modelspec | GARCH Model Specification |
| halflife | Half Life |
| halflife.tsgarch.estimate | Half Life |
| logLik | Extract Log-Likelihood |
| logLik.tsgarch.estimate | Extract Log-Likelihood |
| newsimpact | News Impact Curve |
| newsimpact.tsgarch.estimate | News Impact Curve |
| nikkei | Japanese NIKKEI Stock Index |
| nloptr_fast_options | Default options for nloptr solver |
| nloptr_global_options | Default options for nloptr solver |
| nloptr_options | Default options for nloptr solver |
| nobs | Extract the Number of Observations |
| nobs.tsgarch.estimate | Extract the Number of Observations |
| omega | Omega (Variance Equation Intercept) |
| omega.tsgarch.estimate | Omega (Variance Equation Intercept) |
| omega.tsgarch.spec | Omega (Variance Equation Intercept) |
| persistence | Model Persistence |
| persistence.tsgarch.estimate | Model Persistence |
| persistence.tsgarch.spec | Model Persistence |
| pit | Probability Integral Transform (PIT) |
| pit.tsgarch.estimate | Probability Integral Transform (PIT) |
| plot.tsgarch.estimate | Estimated Model Plots |
| plot.tsgarch.newsimpact | News Impact Plot |
| predict | Model Prediction |
| predict.tsgarch.estimate | Model Prediction |
| print.summary.tsgarch.estimate | Model Estimation Summary Print method |
| print.summary.tsgarch.profile | Profile Summary Print method |
| residuals | Extract Model Residuals |
| residuals.tsgarch.estimate | Extract Model Residuals |
| sigma | Extract Volatility (Conditional Standard Deviation) |
| sigma.tsgarch.estimate | Extract Volatility (Conditional Standard Deviation) |
| simulate | Model Simulation |
| simulate.tsgarch.spec | Model Simulation |
| summary | GARCH Model Estimation Summary |
| summary.tsgarch.estimate | GARCH Model Estimation Summary |
| summary.tsgarch.profile | GARCH Profile Summary |
| tsbacktest | Walk Forward Rolling Backtest |
| tsbacktest.tsgarch.spec | Walk Forward Rolling Backtest |
| tsequation | Model Equation (LaTeX) |
| tsequation.tsgarch.estimate | Model Equation (LaTeX) |
| tsfilter | Model Filtering |
| tsfilter.tsgarch.estimate | Model Filtering |
| tsfilter.tsgarch.spec | Model Filtering |
| tsprofile | Model Parameter Profiling |
| tsprofile.tsgarch.spec | Model Parameter Profiling |
| unconditional | Unconditional Value |
| unconditional.tsgarch.estimate | Unconditional Value |
| unconditional.tsgarch.spec | Unconditional Value |
| vcov | The Covariance Matrix of the Estimated Parameters |
| vcov.tsgarch.estimate | The Covariance Matrix of the Estimated Parameters |