R: Multiple Change-Point Detection for High-Dimensional GARCH Processes

# Multiple Change-Point Detection for High-Dimensional GARCH Processes

## Documentation for package ‘segMGarch’ version 1.3

- DESCRIPTION file

## Help Pages

segMGarch-package | Multiple Change-Point Detection for High-Dimensional GARCH Processes
DQtest | A regression-based test to backtest VaR models proposed by Engle and Manganelli (2004)
DQtest-class | A regression-based test to backtest VaR models proposed by Engle and Manganelli (2004)
DQtest-method | A regression-based test to backtest VaR models proposed by Engle and Manganelli (2004)
DQtest-methods | A regression-based test to backtest VaR models proposed by Engle and Manganelli (2004)
garch.seg | An S4 method to detect the change-points in a high-dimensional GARCH process.
garch.seg-class | An S4 method to detect the change-points in a high-dimensional GARCH process.
garch.seg-method | An S4 method to detect the change-points in a high-dimensional GARCH process.
garch.seg-methods | An S4 method to detect the change-points in a high-dimensional GARCH process.
gen_pc_coef | A method to generate piecewise constant coefficients
gen_pc_coef-class | A method to generate piecewise constant coefficients
gen_pc_coef-method | A method to generate piecewise constant coefficients
gen_pc_coef-methods | A method to generate piecewise constant coefficients
kupiec | Method to backtest VaR violation using the Kupiec statistics
kupiec-class | Method to backtest VaR violation using the Kupiec statistics
kupiec-method | Method to backtest VaR violation using the Kupiec statistics
kupiec-methods | Method to backtest VaR violation using the Kupiec statistics
pc_cccsim | A method to simulate nonstationary high-dimensional CCC GARCH models.
pc_cccsim-class | A method to simulate nonstationary high-dimensional CCC GARCH models.
pc_cccsim-method | A method to simulate nonstationary high-dimensional CCC GARCH models.
pc_cccsim-methods | A method to simulate nonstationary high-dimensional CCC GARCH models.
pc_Sigma | Method to simulate correlated variables with change-points
pc_Sigma-class | Method to simulate correlated variables with change-points
pc_Sigma-method | Method to simulate correlated variables with change-points
pc_Sigma-methods | Method to simulate correlated variables with change-points
segMGarch | Multiple Change-Point Detection for High-Dimensional GARCH Processes
simMGarch-class | An S4 class for a nonstationary CCC model.
TL | Method to backtest VaR violation using the Traffic Light (TL) approach of Basel
TL-class | Method to backtest VaR violation using the Traffic Light (TL) approach of Basel
TL-method | Method to backtest VaR violation using the Traffic Light (TL) approach of Basel
TL-methods | Method to backtest VaR violation using the Traffic Light (TL) approach of Basel
tvMGarch-class | An S4 class for a nonstationary multivariate class model.