Multivariate ARCH Models


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Documentation for package ‘tsmarch’ version 1.0.0

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B C D E F G L N P Q R S T V

-- B --

bread.cgarch.estimate Bread Method
bread.dcc.estimate Bread Method

-- C --

cgarch_modelspec Generic Methods for the Copula GARCH model specification
cgarch_modelspec.tsgarch.multi_estimate Copula GARCH model specification
coef Extract Model Coefficients
coef.cgarch.estimate Extract Model Coefficients
coef.dcc.estimate Extract Model Coefficients
coef.gogarch.estimate Extract Model Coefficients
combn_fast Fast combination of n elements, taken m at a time

-- D --

dcc_modelspec Generic Methods for the DCC GARCH model specification
dcc_modelspec.tsgarch.multi_estimate DCC GARCH model specification
dfft FFT density, distribution and quantile method
dfft.gogarch.fft FFT density, distribution and quantile method
dfft.gogarch.fftsim FFT density, distribution and quantile method
dji30retw Dow Jones 30 Constituents Closing Value log Weekly Return

-- E --

estfun.cgarch.estimate Score Method
estfun.dcc.estimate Score Method
estimate Estimates a model given a specification.
estimate.cgarch.spec Estimates a model given a specification.
estimate.dcc.spec Estimates a model given a specification.
estimate.gogarch.spec Estimates a model given a specification.
expected_shortfall Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.cgarch.predict Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.cgarch.simulate Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.dcc.predict Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.dcc.simulate Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.gogarch.predict Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.gogarch.simulate Expected Shortfall (ES) method for predicted and simulated objects

-- F --

fitted Extract Model Fitted Values
fitted.cgarch.estimate Extract Model Fitted Values
fitted.cgarch.predict Extract Model Fitted Values
fitted.cgarch.simulate Extract Model Fitted Values
fitted.dcc.estimate Extract Model Fitted Values
fitted.dcc.predict Extract Model Fitted Values
fitted.dcc.simulate Extract Model Fitted Values
fitted.gogarch.estimate Extract Model Fitted Values
fitted.gogarch.predict Extract Model Fitted Values
fitted.gogarch.simulate Extract Model Fitted Values

-- G --

globalindices Global Financial Indices Closing Value log Weekly Return
gogarch_modelspec GOGARCH Model specification

-- L --

logLik Extract Log-Likelihood
logLik.cgarch.estimate Extract Log-Likelihood
logLik.dcc.estimate Extract Log-Likelihood
logLik.gogarch.estimate Extract Log-Likelihood

-- N --

newsimpact.cgarch.estimate News Impact Surface
newsimpact.dcc.estimate News Impact Surface
newsimpact.gogarch.estimate News Impact Surface

-- P --

pfft FFT density, distribution and quantile method
pfft.gogarch.fft FFT density, distribution and quantile method
pfft.gogarch.fftsim FFT density, distribution and quantile method
pit.gogarch.fft Probability Integral Transform (PIT) for weighted FFT densities
plot.cgarch.estimate Dynamic Correlation Model Plots
plot.dcc.estimate Dynamic Correlation Model Plots
plot.tsmarch.newsimpact News Impact Surface Plot
predict Model Prediction
predict.cgarch.estimate Model Prediction
predict.dcc.estimate Model Prediction
predict.gogarch.estimate Model Prediction
print.summary.cgarch.estimate Model Estimation Summary Print method
print.summary.dcc.estimate Model Estimation Summary Print method
print.summary.gogarch.estimate Model Estimation Summary Print method
print.summary.tsmarch.estimate Model Estimation Summary Print method

-- Q --

qfft FFT density, distribution and quantile method
qfft.gogarch.fft FFT density, distribution and quantile method
qfft.gogarch.fftsim FFT density, distribution and quantile method

-- R --

radical The Robust Accurate, Direct ICA ALgorithm (RADICAL)
residuals Extract Model Residuals
residuals.cgarch.estimate Extract Model Residuals
residuals.dcc.estimate Extract Model Residuals
residuals.gogarch.estimate Extract Model Residuals

-- S --

simulate Model Simulation
simulate.cgarch.estimate Model Simulation
simulate.dcc.estimate Model Simulation
simulate.gogarch.estimate Model Simulation
summary Model Estimation Summary
summary.cgarch.estimate Model Estimation Summary
summary.dcc.estimate Model Estimation Summary
summary.gogarch.estimate Model Estimation Summary

-- T --

tsaggregate Weighted Moments Aggregation
tsaggregate.cgarch.estimate Weighted Moments Aggregation
tsaggregate.cgarch.predict Weighted Moments Aggregation
tsaggregate.cgarch.simulate Weighted Moments Aggregation
tsaggregate.dcc.estimate Weighted Moments Aggregation
tsaggregate.dcc.predict Weighted Moments Aggregation
tsaggregate.dcc.simulate Weighted Moments Aggregation
tsaggregate.gogarch.estimate Weighted Moments Aggregation
tsaggregate.gogarch.predict Weighted Moments Aggregation
tsaggregate.gogarch.simulate Weighted Moments Aggregation
tscokurt Cokurtosis Extractor
tscokurt.gogarch.estimate Cokurtosis Extractor
tscokurt.gogarch.predict Cokurtosis Extractor
tscokurt.gogarch.simulate Cokurtosis Extractor
tsconvolve Convolution
tsconvolve.gogarch.estimate Convolution
tsconvolve.gogarch.predict Convolution
tsconvolve.gogarch.simulate Convolution
tscor Correlation Extractor
tscor.cgarch.estimate Correlation Extractor
tscor.cgarch.predict Correlation Extractor
tscor.cgarch.simulate Correlation Extractor
tscor.dcc.estimate Correlation Extractor
tscor.dcc.predict Correlation Extractor
tscor.dcc.simulate Correlation Extractor
tscor.gogarch.estimate Correlation Extractor
tscor.gogarch.predict Correlation Extractor
tscor.gogarch.simulate Correlation Extractor
tscoskew Coskewness Extractor
tscoskew.gogarch.estimate Coskewness Extractor
tscoskew.gogarch.predict Coskewness Extractor
tscoskew.gogarch.simulate Coskewness Extractor
tscov Covariance Extractor
tscov.cgarch.estimate Covariance Extractor
tscov.cgarch.predict Covariance Extractor
tscov.cgarch.simulate Covariance Extractor
tscov.dcc.estimate Covariance Extractor
tscov.dcc.predict Covariance Extractor
tscov.dcc.simulate Covariance Extractor
tscov.gogarch.estimate Covariance Extractor
tscov.gogarch.predict Covariance Extractor
tscov.gogarch.simulate Covariance Extractor
tsfilter Model Filtering
tsfilter.cgarch.estimate Model Filtering
tsfilter.dcc.estimate Model Filtering
tsfilter.gogarch.estimate Model Filtering

-- V --

value_at_risk Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.cgarch.predict Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.cgarch.simulate Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.dcc.predict Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.dcc.simulate Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.gogarch.predict Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.gogarch.simulate Value at Risk (VaR) method for predicted and simulated objects
vcov The Covariance Matrix of the Estimated Parameters
vcov.cgarch.estimate The Covariance Matrix of the Estimated Parameters
vcov.dcc.estimate The Covariance Matrix of the Estimated Parameters