Last data update: 2014.03.03
Data Source
R Release (3.2.3)
CranContrib
BioConductor
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Results 1 - 10 of 75 found.
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Implements the VaR Duration Test of Christoffersen and Pelletier.
● Data Source:
CranContrib
● Keywords:
● Alias: VaRDurTest
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0 images
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High Level GARCH filter class to hold the univariate and multivariate filter objects.
● Data Source:
CranContrib
● Keywords: classes
● Alias: GARCHfilter-class
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0 images
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ugarchspec-methods
(Package: rugarch) :
function: Univariate GARCH Specification
Method for creating a univariate GARCH specification object prior to fitting.
● Data Source:
CranContrib
● Keywords: methods
● Alias: ugarchspec, ugarchspec,ANY-method, ugarchspec-methods
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Class for the univariate GARCH Multiple forecast.
● Data Source:
CranContrib
● Keywords: classes
● Alias: fitted,uGARCHmultiforecast-method, show,uGARCHmultiforecast-method, sigma,uGARCHmultiforecast-method, uGARCHmultiforecast-class
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0 images
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GARCHsim-class
(Package: rugarch) :
class: GARCH Simulation Class
High Level GARCH simulation class to hold the univariate and multivariate simulation objects.
● Data Source:
CranContrib
● Keywords: classes
● Alias: GARCHsim-class
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Plot the VaR at a given coverage rate against the realized returns for the same period, highlighting the exceedances.
● Data Source:
CranContrib
● Keywords:
● Alias: VaRplot
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0 images
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ARFIMAmultispec-class
(Package: rugarch) :
class: ARFIMA Multiple Specification Class
Class for the ARFIMA Multiple specification.
● Data Source:
CranContrib
● Keywords: classes
● Alias: ARFIMAmultispec-class, show,ARFIMAmultispec-method
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Class for the ARFIMA fit.
● Data Source:
CranContrib
● Keywords: classes
● Alias: ARFIMAfit-class, coef,ARFIMAfit-method, convergence,ARFIMAfit-method, fitted,ARFIMAfit-method, getspec,ARFIMAfit-method, infocriteria,ARFIMAfit-method, likelihood,ARFIMAfit-method, reduce,ARFIMAfit-method, residuals,ARFIMAfit-method, show,ARFIMAfit-method, uncmean,ARFIMAfit-method, vcov,ARFIMAfit-method
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Implements the Model Confidence Set Test procedure of Hansen, Lunde and
● Data Source:
CranContrib
● Keywords:
● Alias: mcsTest
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0 images
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Class for the univariate GARCH Multiple filter.
● Data Source:
CranContrib
● Keywords: classes
● Alias: coef,uGARCHmultifilter-method, fitted,uGARCHmultifilter-method, likelihood,uGARCHmultifilter-method, residuals,uGARCHmultifilter-method, show,uGARCHmultifilter-method, sigma,uGARCHmultifilter-method, uGARCHmultifilter-class
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