Multivariate ARCH Models

Documentation for package ‘tsmarch’ version 1.0.0

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-- 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