Univariate GARCH Models
Akaike's An Information Criterion
Transform an object into flextable
Transform a summary object into flextable
FCP GARCH Benchmark
Laurent APARCH Benchmark
Bayesian Information Criterion
Bread Method
Extract Model Coefficients
Confidence Intervals for Model Parameters
Score Method
Probability Integral Transform (PIT)
News Impact Plot
Estimated Model Plots
Combine univariate GARCH specifications into a multi-specification obj...
Model Prediction
Model Estimation Summary Print method
Profile Summary Print method
Objects exported from other packages
Extract Model Residuals
Extract Volatility (Conditional Standard Deviation)
Extract the Number of Observations
Omega (Variance Equation Intercept)
Model Persistence
Estimates an GARCH model given a specification object using maximum li...
Extract Model Fitted Values
GARCH Model Specification
Half Life
Extract Log-Likelihood
News Impact Curve
Default options for nloptr solver
Model Simulation
GARCH Model Estimation Summary
GARCH Profile Summary
Convert a list of tsgarch.estimate objects to a multi_estimate object
Walk Forward Rolling Backtest
Model Equation (LaTeX)
Model Filtering
tsgarch: Univariate GARCH Models
Model Parameter Profiling
Unconditional Value
The Covariance Matrix of the Estimated Parameters
Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.