gsSpec
(Package: GEVStableGarch) :
Specification of ARMA-GARCH/APARCH models with GEV or stable distributions
Specifies an ARMA-GARCH or ARMA-APARCH model.
● Data Source:
CranContrib
● Keywords: models
● Alias: gsSpec
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This function uses Maximum Likelihood technique to estimate the parameters of ARMA-GARCH or ARMA-APARCH model with several conditional distributions. The user can also enforce stationarity during estimation
● Data Source:
CranContrib
● Keywords:
● Alias: gsFit
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This class represents an ARMA-GARCH/APARCH model with innovations following an univariate distribution with zero location and unit scale.
● Data Source:
CranContrib
● Keywords: classes
● Alias: GEVSTABLEGARCHSPEC-class
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This function estimates ARMA-GARCH/APARCH models with varying order and returns the one with the smallest goodness-of-fit criteria
● Data Source:
CranContrib
● Keywords:
● Alias: gsSelect
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This package is designed to perform maximum likelihood estimation of ARMA-GARCH/APARCH models with generalized extreme distribution (GEV), stable, generalized asymmetric t (GAt) and skew Student's t from Fernandez and Steel (1998). The package also allows the researcher to restrict the search within the stationarity region (see the gsFit function). Other common conditional distribution (normal, Student's t and generalized error distribution (GED)) are also allowed since they are very important for testing purposes.
● Data Source:
CranContrib
● Keywords: ARMA-APARCH, ARMA-GARCH, GAt distribution, GEV distribution, stable distribution, t3-distribution
● Alias: GEVStableGarch, GEVStableGarch-package
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Functions to compute density, distribution function, quantile function and to generate random variates for the generalized asymmetric t distribution (GAt). Notice that this is the same t3-distribution mentioned in the literature and defined by Paolella (1997) and Mittnik and Paolella (2000). The GAt distribution includes the Student's t, Laplace, Cauchy and the normal distribution when the shape parameter (ν
ightarrow ∞) (see Mittnik and Paolella (2000)).
● Data Source:
CranContrib
● Keywords: distribution
● Alias: dgat, gat, pgat, qgat, rgat
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Data sets used in the examples of the fGarch package.
● Data Source:
CranContrib
● Keywords:
● Alias: Datasets
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Functions to compute density, distribution function, quantile function and to generate random values for the Skew Student's t distribtuion from Fernandez and Steel (1997). Notice that this function is different from the skew Student's t sstd from package fGarch. Although the two distributions use the same approach from Fernandez and Steel (1997), the second one was reparameterized in such a way that when the parameters mean = 0 and sd = 1 the distribution will have a zero mean and unit variance, no matter the value of the skew parameter. The distributions skstd and sstd are the same when the asymmetry parameter xi equals to 1, in which case they correspond to the well known Student's t distribution std.
● Data Source:
CranContrib
● Keywords: distribution
● Alias: dskstd, pskstd, qskstd, rskstd, skstd
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This functions simulates time series following ARMA-GARCH/APARCH models with GEV and stable distributions. This function was developed through the available code from fGarch package available at CRAN.
● Data Source:
CranContrib
● Keywords:
● Alias: gsSim
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The class GEVSTABLEGARCH represents an ARMA-GARCH/APARCH model estimated wih function gsFit
● Data Source:
CranContrib
● Keywords: classes
● Alias: GEVSTABLEGARCH-class
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