ARMA-GARCH/APARCH Models with GEV and Stable Distributions


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Documentation for package ‘GEVStableGarch’ version 1.1

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GEVStableGarch-package ARMA-GARCH/APARCH modelling with GEV and stable distributions
Datasets Time Series Data Sets
dem2gbp Time Series Data Sets
dgat Generalized Asymmetric t Distribution
dskstd Skew Student's t Distribtuion from Fernandez and Steel (1997)
gat Generalized Asymmetric t Distribution
GEVStableGarch ARMA-GARCH/APARCH modelling with GEV and stable distributions
GEVSTABLEGARCH-class Class '"GEVSTABLEGARCH"'
GEVSTABLEGARCHSPEC-class Class '"GEVSTABLEGARCHSPEC"'
gsFit Estimation of ARMA-GARCH/APARCH models
gsMomentAparch Computation of moments for several conditional distribution
gsSelect Selects the best model according to goodness-of-fit criteria
gsSim Simulation of ARMA-GARCH/APARCH process
gsSpec Specification of ARMA-GARCH/APARCH models with GEV or stable distributions
pgat Generalized Asymmetric t Distribution
pskstd Skew Student's t Distribtuion from Fernandez and Steel (1997)
qgat Generalized Asymmetric t Distribution
qskstd Skew Student's t Distribtuion from Fernandez and Steel (1997)
rgat Generalized Asymmetric t Distribution
rskstd Skew Student's t Distribtuion from Fernandez and Steel (1997)
show,GEVSTABLEGARCH-update Class '"GEVSTABLEGARCH"'
show,GEVSTABLEGARCHSPEC-update Class '"GEVSTABLEGARCHSPEC"'
show-method GEVSTABLEGARCH Package Show Methods
show-methods GEVSTABLEGARCH Package Show Methods
skstd Skew Student's t Distribtuion from Fernandez and Steel (1997)
sp500dge Time Series Data Sets