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betategarch (version 3.3)

Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models

Description

Simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models with leverage (one-component, two-component, skewed versions).

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Version

Install

install.packages('betategarch')

Monthly Downloads

317

Version

3.3

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

October 16th, 2016

Functions in betategarch (3.3)

betategarch-package

Simulation, estimation and forecasting of Beta-Skew-t-EGARCH models
coef.tegarch

Extraction methods for 'tegarch' objects
dST

The skewed t distribution
tegarchLogl

Auxiliary functions
tegarchSim

Simulate from a first order Beta-Skew-t-EGARCH model
nasdaq

Daily Apple stock returns
tegarch

Estimate first order Beta-Skew-t-EGARCH models
predict.tegarch

Generate volatility forecasts n-steps ahead