<p>A dataset containing daily CBOE Volatility Index from 5th of July 2016 to 4th of July 2017.</p>

datasets

Maximum likelihood estimation of univariate Gaussian Mixture Autoregressive (GMAR),
Student's t Mixture Autoregressive (StMAR), and Gaussian and Student's t Mixture Autoregressive (G-StMAR) models,
quantile residual tests, graphical diagnostics, forecast and simulate from GMAR, StMAR and G-StMAR processes.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>,
Mika Meitz, Daniel Preve, Pentti Saikkonen (2018) <arXiv:1805.04010>,
Savi Virolainen (2020) <arXiv:2003.05221>.

Savi Virolainen

uGMAR

Estimate Univariate Gaussian or Student's t Mixture
Autoregressive Model

VIX function

<p>A numeric vector containing 252 observations.</p>

VIX: CBOE Volatility Index: VIX

Description

Usage

Arguments

Format