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 |