Estimation of a Broad Family of EGARCH Models
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Documentation for package ‘fEGarch’ version 1.0.0
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A B C D E F G I K L M N O P R S T U V W
| fEGarch-package | Estimation of a Broad Family of EGARCH Models |
-- A --
| accessor_methods | Methods for Accessing Model Estimation and Forecasting Output Elements |
| ald_est | MLE for Distribution Fitting |
| aparch | APARCH Model Fitting |
| aparch_ru | Wrapper Functions for Selected 'rugarch' GARCH Models |
| aparch_sim | Simulate From APARCH Models |
| autoplot-method | Plot Method for Fitting Step Results in the Style of ggplot2 |
| autoplot-method | Plotting of Risk Measure Results ('ggplot2') |
-- B --
| backtest_suite | Generics for backtests |
| backtest_suite-method | Backtesting VaR and ES |
| boundary_method | Generics for Nonparametric Smoothing Setting Adjustments |
| boundary_method-method | Accessors for Class '"locpol_spec"' |
| boundary_method<- | Generics for Nonparametric Smoothing Setting Adjustments |
| boundary_method<--method | Accessors for Class '"locpol_spec"' |
| bwidth | Generics for Nonparametric Smoothing Setting Adjustments |
| bwidth-method | Accessors for Class '"locpol_spec"' |
| bwidth<- | Generics for Nonparametric Smoothing Setting Adjustments |
| bwidth<--method | Accessors for Class '"locpol_spec"' |
-- C --
| close_to_lreturn | Log-Return Calculation From Closing Prices |
| cmeans | Generics for Accessing Model Estimation Output Elements |
| cmeans-method | Methods for Accessing Model Estimation and Forecasting Output Elements |
| cmeans-method | Generics for Accessing Model Estimation Output Elements |
| cond_cov_test | Generics for backtests |
| cond_cov_test-method | Backtesting VaR and ES |
| cond_dist | Generics for Model Specification Accessors |
| cond_dist-method | Generics for Model Specification Accessors |
| cond_dist-method | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
| cond_dist<- | Generics for Model Specification Accessors |
| cond_dist<--method | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
| cov_tests | Generics for backtests |
| cov_tests-method | Backtesting VaR and ES |
-- D --
| distr_est | MLE for Distribution Fitting |
-- E --
| egarch_ru | Wrapper Functions for Selected 'rugarch' GARCH Models |
| egarch_spec | EGARCH Family Submodel Specification |
| egarch_type_spec | Subspecification of EGARCH Family Models |
| ES_calc | VaR and ES Computation for Standardized Distributions |
| etat | Generics for Accessing Model Estimation Output Elements |
| etat-method | Methods for Accessing Model Estimation and Forecasting Output Elements |
| etat-method | Generics for Accessing Model Estimation Output Elements |
-- F --
| fEGarch | Fitting Function for Models of the Broader EGARCH Family |
| fEGarch_fit | Generic for Fitting EGARCH Family Models |
| fEGarch_fit-method | Fitting Method for Type I EGARCH-Family Models |
| fEGarch_fit-method | Fitting Method for Type II EGARCH-Family Models |
| fEGarch_predict | Generics for Forecasts |
| fEGarch_predict-method | Prediction Methods for Package's Models |
| fEGarch_sim | Simulate From Models of the Broader EGARCH Family |
| fEGarch_spec | General EGARCH Family Model Specification |
| fiaparch | FIAPARCH Model Fitting |
| fiaparch_sim | Simulate From FIAPARCH Models |
| fiegarch_spec | EGARCH Family Submodel Specification |
| figarch | FIGARCH Model Fitting |
| figarch_sim | Simulate From FIGARCH Models |
| figjrgarch | FIGJR-GARCH Model Fitting |
| figjrgarch_sim | Simulate From FIGJR-GARCH Models |
| filoggarch_spec | EGARCH Family Submodel Specification |
| fimegarch_spec | EGARCH Family Submodel Specification |
| fimloggarch_spec | EGARCH Family Submodel Specification |
| find_dist | Optimal Distribution Fitting to IID Data |
| fitgarch | FITGARCH Model Fitting |
| fitgarch_sim | Simulate From FITGARCH Models |
| fitted-method | Extract Fitted Conditional Means |
| fitted_object_generics | Generics for Accessing Model Estimation Output Elements |
| fit_test_suite | Goodness-of-Fit Test Generics |
| fit_test_suite-method | Post-Estimation Fit-Tests |
-- G --
| garch | GARCH Model Fitting |
| garchm_estim | General GARCH-Type Model Estimation |
| garch_sim | Simulate From GARCH Models |
| ged_est | MLE for Distribution Fitting |
| gjrgarch | GJR-GARCH Model Fitting |
| gjrgarch_ru | Wrapper Functions for Selected 'rugarch' GARCH Models |
| gjrgarch_sim | Simulate From GJR-GARCH Models |
| goodn_of_fit_test | Goodness-of-Fit Test Generics |
| goodn_of_fit_test-method | Adjusted Pearson Goodness-of-Fit Test for Standardized Model Residuals |
-- I --
| include_mean | Generics for Model Specification Accessors |
| include_mean-method | Accessors for Class '"mean_spec"' |
| include_mean-method | Generics for Model Specification Accessors |
| include_mean<- | Generics for Model Specification Accessors |
| include_mean<--method | Accessors for Class '"mean_spec"' |
| indep_test | Generics for backtests |
| indep_test-method | Backtesting VaR and ES |
| inf_criteria | Generics for Accessing Model Estimation Output Elements |
| inf_criteria-method | Methods for Accessing Model Estimation and Forecasting Output Elements |
| inf_criteria-method | Methods for Accessing Distribution Estimation Elements |
| inf_criteria-method | Generics for Accessing Model Estimation Output Elements |
-- K --
| kernel_order | Generics for Nonparametric Smoothing Setting Adjustments |
| kernel_order-method | Accessors for Class '"locpol_spec"' |
| kernel_order<- | Generics for Nonparametric Smoothing Setting Adjustments |
| kernel_order<--method | Accessors for Class '"locpol_spec"' |
-- L --
| ljung_box_test | Goodness-of-Fit Test Generics |
| ljung_box_test-method | Weighted Ljung-Box Test for Autocorrelation |
| llhood | Generics for Accessing Model Estimation Output Elements |
| llhood-method | Methods for Accessing Model Estimation and Forecasting Output Elements |
| llhood-method | Methods for Accessing Distribution Estimation Elements |
| llhood-method | Generics for Accessing Model Estimation Output Elements |
| locpol_spec | Specification of Nonparametric Local Polynomial Models |
| locpol_spec_methods | Accessors for Class '"locpol_spec"' |
| loggarch_spec | EGARCH Family Submodel Specification |
| loggarch_type_spec | Subspecification of EGARCH Family Models |
| long_memo | Generics for Model Specification Accessors |
| long_memo-method | Accessors for Class '"mean_spec"' |
| long_memo-method | Generics for Model Specification Accessors |
| long_memo-method | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
| long_memo<- | Generics for Model Specification Accessors |
| long_memo<--method | Accessors for Class '"mean_spec"' |
| long_memo<--method | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
| loss_functions | Generic for Loss Function Calculation |
| loss_functions-method | Loss Function Calculation |
-- M --
| mean_spec | Specification of Conditional Mean Models |
| mean_spec_methods | Accessors for Class '"mean_spec"' |
| measure_risk | VaR and ES Computation Following Fitted Models or Forecasts |
| measure_risk-method | VaR and ES Computation Following Fitted Models or Forecasts |
| megarch_spec | EGARCH Family Submodel Specification |
| mloggarch_spec | EGARCH Family Submodel Specification |
| modulus | Generics for Model Specification Accessors |
| modulus-method | Generics for Model Specification Accessors |
| modulus-method | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
| modulus<- | Generics for Model Specification Accessors |
| modulus<--method | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
-- N --
| norm_est | MLE for Distribution Fitting |
-- O --
| orders | Generics for Model Specification Accessors |
| orders-method | Accessors for Class '"mean_spec"' |
| orders-method | Generics for Model Specification Accessors |
| orders-method | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
| orders<- | Generics for Model Specification Accessors |
| orders<--method | Accessors for Class '"mean_spec"' |
| orders<--method | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
-- P --
| pars | Generics for Accessing Model Estimation Output Elements |
| pars-method | Methods for Accessing Model Estimation and Forecasting Output Elements |
| pars-method | Methods for Accessing Distribution Estimation Elements |
| pars-method | Generics for Accessing Model Estimation Output Elements |
| plot | S4 Plot Generic |
| plot-method | Plot Method for Showing Fitting Step Results |
| plot-method | Plotting of Risk Measure Results (Base R) |
| poly_order | Generics for Nonparametric Smoothing Setting Adjustments |
| poly_order-method | Accessors for Class '"locpol_spec"' |
| poly_order<- | Generics for Nonparametric Smoothing Setting Adjustments |
| poly_order<--method | Accessors for Class '"locpol_spec"' |
| powers | Generics for Model Specification Accessors |
| powers-method | Generics for Model Specification Accessors |
| powers-method | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
| powers<- | Generics for Model Specification Accessors |
| powers<--method | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
| predict-method | Multistep and Rolling Point Forecasts |
| predict_internal | Generics for Forecasts |
| predict_internal-method | Prediction Methods for Package's Models |
| predict_roll | Generics for Forecasts |
| predict_roll-method | Multistep and Rolling Point Forecasts |
-- R --
| rald_s | Sampling Functions for Innovations |
| residuals-method | Extract Standardized Residuals |
| rged_s | Sampling Functions for Innovations |
| rnorm_s | Sampling Functions for Innovations |
| rsald_s | Sampling Functions for Innovations |
| rsged_s | Sampling Functions for Innovations |
| rsnorm_s | Sampling Functions for Innovations |
| rsstd_s | Sampling Functions for Innovations |
| rstd_s | Sampling Functions for Innovations |
| rugarch_wrappers | Wrapper Functions for Selected 'rugarch' GARCH Models |
-- S --
| sald_est | MLE for Distribution Fitting |
| se | Generics for Accessing Model Estimation Output Elements |
| se-method | Methods for Accessing Model Estimation and Forecasting Output Elements |
| se-method | Methods for Accessing Distribution Estimation Elements |
| se-method | Generics for Accessing Model Estimation Output Elements |
| sged_est | MLE for Distribution Fitting |
| show-method | Show Method for Estimation Output |
| sigma-method | Extract Fitted Conditional Standard Deviations |
| sign_bias_test | Goodness-of-Fit Test Generics |
| sign_bias_test-method | Sign Bias Test |
| sigt | Generics for Accessing Model Estimation Output Elements |
| sigt-method | Methods for Accessing Model Estimation and Forecasting Output Elements |
| sigt-method | Generics for Accessing Model Estimation Output Elements |
| sim_functions | Sampling Functions for Innovations |
| snorm_est | MLE for Distribution Fitting |
| SP500 | Daily Log-Returns of the S&P 500 |
| spec_generics | Generics for Model Specification Accessors |
| spec_methods | Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' |
| sstd_est | MLE for Distribution Fitting |
| std_est | MLE for Distribution Fitting |
| submodel-specs | EGARCH Family Submodel Specification |
-- T --
| tgarch | TGARCH Model Fitting |
| tgarch_sim | Simulate From TGARCH Models |
| trafflight_test | Generics for backtests |
| trafflight_test-method | Backtesting VaR and ES |
-- U --
| uncond_cov_test | Generics for backtests |
| uncond_cov_test-method | Backtesting VaR and ES |
-- V --
| VaR_calc | VaR and ES Computation for Standardized Distributions |
| vcov_mat | Generics for Accessing Model Estimation Output Elements |
| vcov_mat-method | Methods for Accessing Model Estimation and Forecasting Output Elements |
| vcov_mat-method | Methods for Accessing Distribution Estimation Elements |
| vcov_mat-method | Generics for Accessing Model Estimation Output Elements |
-- W --
| WAD | Generics for backtests |
| WAD-method | Backtesting VaR and ES |