Function reference • fGarch

Overview of package fGarch

fGarch-package fGarch: Modelling heterskedasticity in financial time series

fGarchData dem2gbp sp500dge: Time series datasets

garchSim(): Simulate univariate GARCH/APARCH time series

Fit GARCH-type models

garchFit() garchKappa() .gogarchFit(): Fit univariate and multivariate GARCH-type models

garchSpec(): Univariate GARCH/APARCH time series specification

garchFitControl(): Control GARCH fitting algorithms

Classes

fGARCH-class show,fGARCH-method update,fGARCH-method: Class "fGARCH" - fitted ARMA-GARCH/APARCH models

fGARCHSPEC-class show,fGARCHSPEC-method update,fGARCHSPEC-method: Class "fGARCHSPEC"

Exploring and computing on ‘fGARCH’ objects

tsdiag(<fGARCH>): Diagnostic plots and statistics for fitted GARCH models

plot(<fGARCH>,<missing>): GARCH plot methods

summary-methods summary summary,fGARCH-method: GARCH summary methods

coef-methods coef coef,fGARCH-method coef,fGARCHSPEC-method: GARCH coefficients methods

fitted-methods fitted fitted,fGARCH-method: Extract GARCH model fitted values

formula-methods formula formula,fGARCH-method: Extract GARCH model formula

predict(<fGARCH>): GARCH prediction function

residuals(<fGARCH>): Extract GARCH model residuals

volatility(<fGARCH>): Extract GARCH model volatility

VaR(<fGARCH>) ES(<fGARCH>): Compute Value-at-Risk (VaR) and expected shortfall (ES)

Standardized distributions

absMoments(): Absolute moments of GARCH distributions

dstd() pstd() qstd() rstd(): Standardized Student-t distribution

dged() pged() qged() rged(): Standardized generalized error distribution

Skewed standardized distributions

dsnorm() psnorm() qsnorm() rsnorm(): Skew normal distribution

dsstd() psstd() qsstd() rsstd(): Skew Student-t distribution

dsged() psged() qsged() rsged(): Skew generalized error distribution

Fit standardized distributions

stdFit(): Student-t distribution parameter estimation

gedFit(): Generalized error distribution parameter estimation

snormFit(): Skew normal distribution parameter estimation

sstdFit(): Skew Student-t distribution parameter estimation

sgedFit(): Skew generalized error distribution parameter estimation

Visualize standardized distributions

stdSlider(): Student-t distribution slider

gedSlider(): Generalized error distribution slider

snormSlider(): Skew normal distribution slider

sstdSlider(): Skew Student-t distribution slider

sgedSlider(): Skew GED distribution slider

Internal functions and classes

fUGARCHSPEC-class .ugarchFit .ugarchSpec: Class 'fUGARCHSPEC'