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

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

## Documentation for package ‘fEGarch’ version 1.0.6

- DESCRIPTION file
- Package NEWS
- Package README

## Help Pages

A B C D E F G I K L M N O P R S T U V W

fEGarch-package | 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_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_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