SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions

Documentation for package ‘fEGarch’ version 1.0.1

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Estimation of a Broad Family of EGARCH Models

-- A --

accessor_methods	Methods for Accessing Model Estimation and Forecasting Output Elements
ald_est	MLE for Distribution Fitting
aparch	APARCH Model Fitting
aparch_ru	Wrapper Functions for Selected 'rugarch' GARCH Models
aparch_sim	Simulate From APARCH Models
autoplot-method	Plot Method for Fitting Step Results in the Style of ggplot2
autoplot-method	Plotting of Risk Measure Results ('ggplot2')

-- B --

backtest_suite	Generics for backtests
backtest_suite-method	Backtesting VaR and ES
boundary_method	Generics for Nonparametric Smoothing Setting Adjustments
boundary_method-method	Accessors for Class '"locpol_spec"'
boundary_method<-	Generics for Nonparametric Smoothing Setting Adjustments
boundary_method<--method	Accessors for Class '"locpol_spec"'
bwidth	Generics for Nonparametric Smoothing Setting Adjustments
bwidth-method	Accessors for Class '"locpol_spec"'
bwidth<-	Generics for Nonparametric Smoothing Setting Adjustments
bwidth<--method	Accessors for Class '"locpol_spec"'

-- C --

close_to_lreturn	Log-Return Calculation From Closing Prices
cmeans	Generics for Accessing Model Estimation Output Elements
cmeans-method	Methods for Accessing Model Estimation and Forecasting Output Elements
cmeans-method	Generics for Accessing Model Estimation Output Elements
cond_cov_test	Generics for backtests
cond_cov_test-method	Backtesting VaR and ES
cond_dist	Generics for Model Specification Accessors
cond_dist-method	Generics for Model Specification Accessors
cond_dist-method	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'
cond_dist<-	Generics for Model Specification Accessors
cond_dist<--method	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'
cov_tests	Generics for backtests
cov_tests-method	Backtesting VaR and ES

-- D --

distr_est

MLE for Distribution Fitting

-- E --

egarch_ru	Wrapper Functions for Selected 'rugarch' GARCH Models
egarch_spec	EGARCH Family Submodel Specification
egarch_type_spec	Subspecification of EGARCH Family Models
ES_calc	VaR and ES Computation for Standardized Distributions
etat	Generics for Accessing Model Estimation Output Elements
etat-method	Methods for Accessing Model Estimation and Forecasting Output Elements
etat-method	Generics for Accessing Model Estimation Output Elements

-- F --

fEGarch	Fitting Function for Models of the Broader EGARCH Family
fEGarch_fit	Generic for Fitting EGARCH Family Models
fEGarch_fit-method	Fitting Method for Type I EGARCH-Family Models
fEGarch_fit-method	Fitting Method for Type II EGARCH-Family Models
fEGarch_predict	Generics for Forecasts
fEGarch_predict-method	Prediction Methods for Package's Models
fEGarch_sim	Simulate From Models of the Broader EGARCH Family
fEGarch_spec	General EGARCH Family Model Specification
fiaparch	FIAPARCH Model Fitting
fiaparch_sim	Simulate From FIAPARCH Models
fiegarch_spec	EGARCH Family Submodel Specification
figarch	FIGARCH Model Fitting
figarch_sim	Simulate From FIGARCH Models
figjrgarch	FIGJR-GARCH Model Fitting
figjrgarch_sim	Simulate From FIGJR-GARCH Models
filoggarch_spec	EGARCH Family Submodel Specification
fimegarch_spec	EGARCH Family Submodel Specification
fimloggarch_spec	EGARCH Family Submodel Specification
find_dist	Optimal Distribution Fitting to IID Data
fitgarch	FITGARCH Model Fitting
fitgarch_sim	Simulate From FITGARCH Models
fitted-method	Extract Fitted Conditional Means
fitted_object_generics	Generics for Accessing Model Estimation Output Elements
fit_test_suite	Goodness-of-Fit Test Generics
fit_test_suite-method	Post-Estimation Fit-Tests

-- G --

garch	GARCH Model Fitting
garchm_estim	General GARCH-Type Model Estimation
garch_sim	Simulate From GARCH Models
ged_est	MLE for Distribution Fitting
gjrgarch	GJR-GARCH Model Fitting
gjrgarch_ru	Wrapper Functions for Selected 'rugarch' GARCH Models
gjrgarch_sim	Simulate From GJR-GARCH Models
goodn_of_fit_test	Goodness-of-Fit Test Generics
goodn_of_fit_test-method	Adjusted Pearson Goodness-of-Fit Test for Standardized Model Residuals

-- I --

include_mean	Generics for Model Specification Accessors
include_mean-method	Accessors for Class '"mean_spec"'
include_mean-method	Generics for Model Specification Accessors
include_mean<-	Generics for Model Specification Accessors
include_mean<--method	Accessors for Class '"mean_spec"'
indep_test	Generics for backtests
indep_test-method	Backtesting VaR and ES
inf_criteria	Generics for Accessing Model Estimation Output Elements
inf_criteria-method	Methods for Accessing Model Estimation and Forecasting Output Elements
inf_criteria-method	Methods for Accessing Distribution Estimation Elements
inf_criteria-method	Generics for Accessing Model Estimation Output Elements

-- K --

kernel_order	Generics for Nonparametric Smoothing Setting Adjustments
kernel_order-method	Accessors for Class '"locpol_spec"'
kernel_order<-	Generics for Nonparametric Smoothing Setting Adjustments
kernel_order<--method	Accessors for Class '"locpol_spec"'

-- L --

ljung_box_test	Goodness-of-Fit Test Generics
ljung_box_test-method	Weighted Ljung-Box Test for Autocorrelation
llhood	Generics for Accessing Model Estimation Output Elements
llhood-method	Methods for Accessing Model Estimation and Forecasting Output Elements
llhood-method	Methods for Accessing Distribution Estimation Elements
llhood-method	Generics for Accessing Model Estimation Output Elements
locpol_spec	Specification of Nonparametric Local Polynomial Models
locpol_spec_methods	Accessors for Class '"locpol_spec"'
loggarch_spec	EGARCH Family Submodel Specification
loggarch_type_spec	Subspecification of EGARCH Family Models
long_memo	Generics for Model Specification Accessors
long_memo-method	Accessors for Class '"mean_spec"'
long_memo-method	Generics for Model Specification Accessors
long_memo-method	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'
long_memo<-	Generics for Model Specification Accessors
long_memo<--method	Accessors for Class '"mean_spec"'
long_memo<--method	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'
loss_functions	Generic for Loss Function Calculation
loss_functions-method	Loss Function Calculation

-- M --

mean_spec	Specification of Conditional Mean Models
mean_spec_methods	Accessors for Class '"mean_spec"'
measure_risk	VaR and ES Computation Following Fitted Models or Forecasts
measure_risk-method	VaR and ES Computation Following Fitted Models or Forecasts
megarch_spec	EGARCH Family Submodel Specification
mloggarch_spec	EGARCH Family Submodel Specification
modulus	Generics for Model Specification Accessors
modulus-method	Generics for Model Specification Accessors
modulus-method	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'
modulus<-	Generics for Model Specification Accessors
modulus<--method	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'

-- N --

norm_est

MLE for Distribution Fitting

-- O --

orders	Generics for Model Specification Accessors
orders-method	Accessors for Class '"mean_spec"'
orders-method	Generics for Model Specification Accessors
orders-method	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'
orders<-	Generics for Model Specification Accessors
orders<--method	Accessors for Class '"mean_spec"'
orders<--method	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'

-- P --

pars	Generics for Accessing Model Estimation Output Elements
pars-method	Methods for Accessing Model Estimation and Forecasting Output Elements
pars-method	Methods for Accessing Distribution Estimation Elements
pars-method	Generics for Accessing Model Estimation Output Elements
plot	S4 Plot Generic
plot-method	Plot Method for Showing Fitting Step Results
plot-method	Plotting of Risk Measure Results (Base R)
poly_order	Generics for Nonparametric Smoothing Setting Adjustments
poly_order-method	Accessors for Class '"locpol_spec"'
poly_order<-	Generics for Nonparametric Smoothing Setting Adjustments
poly_order<--method	Accessors for Class '"locpol_spec"'
powers	Generics for Model Specification Accessors
powers-method	Generics for Model Specification Accessors
powers-method	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'
powers<-	Generics for Model Specification Accessors
powers<--method	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'
predict-method	Multistep and Rolling Point Forecasts
predict_internal	Generics for Forecasts
predict_internal-method	Prediction Methods for Package's Models
predict_roll	Generics for Forecasts
predict_roll-method	Multistep and Rolling Point Forecasts

-- R --

rald_s	Sampling Functions for Innovations
residuals-method	Extract Standardized Residuals
rged_s	Sampling Functions for Innovations
rnorm_s	Sampling Functions for Innovations
rsald_s	Sampling Functions for Innovations
rsged_s	Sampling Functions for Innovations
rsnorm_s	Sampling Functions for Innovations
rsstd_s	Sampling Functions for Innovations
rstd_s	Sampling Functions for Innovations
rugarch_wrappers	Wrapper Functions for Selected 'rugarch' GARCH Models

-- S --

sald_est	MLE for Distribution Fitting
se	Generics for Accessing Model Estimation Output Elements
se-method	Methods for Accessing Model Estimation and Forecasting Output Elements
se-method	Methods for Accessing Distribution Estimation Elements
se-method	Generics for Accessing Model Estimation Output Elements
sged_est	MLE for Distribution Fitting
show-method	Show Method for Estimation Output
sigma-method	Extract Fitted Conditional Standard Deviations
sign_bias_test	Goodness-of-Fit Test Generics
sign_bias_test-method	Sign Bias Test
sigt	Generics for Accessing Model Estimation Output Elements
sigt-method	Methods for Accessing Model Estimation and Forecasting Output Elements
sigt-method	Generics for Accessing Model Estimation Output Elements
sim_functions	Sampling Functions for Innovations
snorm_est	MLE for Distribution Fitting
SP500	Daily Log-Returns of the S&P 500
spec_generics	Generics for Model Specification Accessors
spec_methods	Accessors for Classes '"base_garch_spec"' and '"egarch_spec"'
sstd_est	MLE for Distribution Fitting
std_est	MLE for Distribution Fitting
submodel-specs	EGARCH Family Submodel Specification

-- T --

tgarch	TGARCH Model Fitting
tgarch_sim	Simulate From TGARCH Models
trafflight_test	Generics for backtests
trafflight_test-method	Backtesting VaR and ES

-- U --

UKinflation	Monthly Inflation Rate of the UK
uncond_cov_test	Generics for backtests
uncond_cov_test-method	Backtesting VaR and ES

-- V --

VaR_calc	VaR and ES Computation for Standardized Distributions
vcov_mat	Generics for Accessing Model Estimation Output Elements
vcov_mat-method	Methods for Accessing Model Estimation and Forecasting Output Elements
vcov_mat-method	Methods for Accessing Distribution Estimation Elements
vcov_mat-method	Generics for Accessing Model Estimation Output Elements

-- W --

WAD	Generics for backtests
WAD-method	Backtesting VaR and ES