Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models
Simulate from a first order Beta-Skew-t-EGARCH model
Simulation, estimation and forecasting of Beta-Skew-t-EGARCH models
Extraction methods for 'tegarch' objects
The skewed t distribution
Generate volatility forecasts n-steps ahead
Estimate first order Beta-Skew-t-EGARCH models
Auxiliary functions
Simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models with leverage (one-component, two-component, skewed versions).