fGarch4033.92 package

Modelling heterskedasticity in financial time series

Class "fGARCH"

Class "fGARCHSPEC"

Class 'fUGARCHSPEC'

Absolute moments of GARCH distributions

Standardized generalized error distribution

Generalized error distribution parameter estimation

Generalized error distribution slider

Skew generalized error distribution

Skew generalized error distribution parameter estimation

Skew GED distribution slider

Skew normal distribution

Skew normal distribution parameter estimation

Skew normal distribution slider

Skew Student-t distribution

Skew Student-t distribution parameter estimation

Skew Student-t distribution slider

Standardized Student-t distribution

Student-t distribution parameter estimation

Student-t distribution slider

Time series datasets

Univariate or multivariate GARCH time series fitting

Control GARCH fitting algorithms

Simulate univariate GARCH/APARCH time series

Univariate GARCH/APARCH time series specification

GARCH coefficients methods

Extract GARCH model fitted values

Extract GARCH model formula

GARCH plot methods

GARCH prediction function

Extract GARCH model residuals

GARCH summary methods

Extract GARCH model volatility

Diagnostic plots and statistics for fitted GARCH models

Compute Value-at-Risk (VaR) and expected shortfall (ES)