fGarch4052.93 package

Modelling heterskedasticity in financial time series

Class "fGARCH" - fitted ARMA-GARCH/APARCH models

Class "fGARCHSPEC"

Class 'fUGARCHSPEC'

Absolute moments of GARCH distributions

Standardized generalized error distribution

Generalized error distribution parameter estimation

Skew generalized error distribution

Skew generalized error distribution parameter estimation

Visualise skew normal, (skew) Student-t and (skew) GED distributions

Skew normal distribution

Skew normal distribution parameter estimation

Skew Student-t distribution

Skew Student-t distribution parameter estimation

Standardized Student-t distribution

Student-t distribution parameter estimation

Time series datasets

Fit univariate and multivariate GARCH-type models

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

fGARCH method for the summary function

Extract GARCH model volatility

Diagnostic plots and statistics for fitted GARCH models

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