SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions
Methods for Accessing Distribution Estimation Elements
Methods for Accessing Model Estimation and Forecasting Output Elements
Simulate From APARCH Models
APARCH Model Fitting
Plot Method for Fitting Step Results in the Style of ggplot2
Plotting of Risk Measure Results (ggplot2)
Generics for backtests
Backtesting VaR and ES
Log-Return Calculation From Closing Prices
MLE for Distribution Fitting
Fitting Method for Type I EGARCH-Family Models
Fitting Method for Type II EGARCH-Family Models
Generic for Fitting EGARCH Family Models
Simulate From Models of the Broader EGARCH Family
General EGARCH Family Model Specification
Estimation of a Broad Family of EGARCH Models
Subspecification of EGARCH Family Models
Fitting Function for Models of the Broader EGARCH Family
Simulate From FIAPARCH Models
FIAPARCH Model Fitting
Simulate From FIGARCH Models
FIGARCH Model Fitting
Simulate From FIGJR-GARCH Models
FIGJR-GARCH Model Fitting
Optimal Distribution Fitting to IID Data
Post-Estimation Fit-Tests
Goodness-of-Fit Test Generics
Simulate From FITGARCH Models
FITGARCH Model Fitting
Generics for Accessing Model Estimation Output Elements
Extract Fitted Conditional Means
Generics for Forecasts
Multistep and Rolling Point Forecasts
Prediction Methods for Package's Models
Simulate From GARCH Models
GARCH Model Fitting
General GARCH-Type Model Estimation
Simulate From GJR-GARCH Models
GJR-GARCH Model Fitting
Adjusted Pearson Goodness-of-Fit Test for Standardized Model Residuals
Weighted Ljung-Box Test for Autocorrelation
Accessors for Class "locpol_spec"
Specification of Nonparametric Local Polynomial Models
Loss Function Calculation
Generic for Loss Function Calculation
Accessors for Class "mean_spec"
Specification of Conditional Mean Models
VaR and ES Computation Following Fitted Models or Forecasts
Generics for Nonparametric Smoothing Setting Adjustments
Plot Method for Showing Fitting Step Results
Plotting of Risk Measure Results (Base R)
S4 Plot Generic
Objects exported from other packages
Extract Standardized Residuals
Wrapper Functions for Selected rugarch GARCH Models
Show Method for Estimation Output
Extract Fitted Conditional Standard Deviations
Sign Bias Test
Sampling Functions for Innovations
Daily Log-Returns of the S&P 500
Generics for Model Specification Accessors
Accessors for Classes "base_garch_spec" and "egarch_spec"
EGARCH Family Submodel Specification
Simulate From TGARCH Models
TGARCH Model Fitting
VaR and ES Computation for Standardized Distributions
Implement and fit a variety of short-memory (SM) and long-memory (LM) models from a very broad family of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models, such as a MEGARCH (modified EGARCH), FIEGARCH (fractionally integrated EGARCH), FIMLog-GARCH (fractionally integrated modulus Log-GARCH), and more. The FIMLog-GARCH as part of the EGARCH family is discussed in Feng et al. (2023) <https://econpapers.repec.org/paper/pdnciepap/156.htm>. For convenience and the purpose of comparison, a variety of other popular SM and LM GARCH-type models, like an APARCH model, a fractionally integrated APARCH (FIAPARCH) model, standard GARCH and fractionally integrated GARCH (FIGARCH) models, GJR-GARCH and FIGJR-GARCH models, TGARCH and FITGARCH models, are implemented as well as dual models with simultaneous modelling of the mean, including dual long-memory models with a fractionally integrated autoregressive moving average (FARIMA) model in the mean and a long-memory model in the variance, and semiparametric volatility model extensions. Parametric models and parametric model parts are fitted through quasi-maximum-likelihood estimation. Furthermore, common forecasting and backtesting functions for value-at-risk (VaR) and expected shortfall (ES) based on the package's models are provided.