@krzysztofsztompka/garch
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Module index
Classes
GarchInputError
Type Aliases
AsOfFit
Baseline
CoverageTest
DccAssetSpec
DccFit
DccForecast
DccOptions
DieboldMariano
DieboldMarianoOptions
Distribution
Exogenous
FitAt
FitOptions
FitsAtRequest
ForecastsRequest
GarchFit
GarchMode
GarchModel
GarchParams
Inference
JobName
JobRequest
JobResult
MeanModel
ModelSpec
PortfolioTailRisk
PortfolioTailRiskRequest
QuantizationOptions
RivalMode
ScoredOrigin
Simulation
SimulationRequest
TailRisk
TestResult
Validation
ValidationOptions
VarBacktest
VarBacktestOptions
VolatilityForecast
VolatilityForecastRequest
WalkForwardStep
WeightedForecast
WeightedForecastRequest
WeightedModel
WeightedOrigin
Window
Variables
EGARCH_ABS_MEAN
SEGMENT_ORIGINS
T_NU_MIN
WEIGHT_BURN_IN
WEIGHTED_MODELS
Functions
archLm
asOfFit
backcast
chiSquareSurvival
compareValidations
coverageTest
dccForecast
dieboldMariano
digamma
downShare
egarchForecast
egarchLogLikelihood
egarchLogLikelihoodGradient
exogenousBackcast
extendFit
filteredTailRisk
fitDcc
fitGarch
fitsAt
forecastVariance
ljungBox
logGamma
logLikelihood
logLikelihoodGradient
normalCdf
normalQuantile
overlapOf
persistence
portfolioTailRisk
portfolioVariance
qlike
quantizedUntil
realizedVariance
scoreWalkForward
segments
simulate
simulatedTailRisk
skewDownShare
skewPartialMoments
skewQuantile
standardizedResiduals
studentCdf
studentQuantile
tailRisk
twoSidedPValue
validationWindows
varBacktest
volatilityForecast
walkForwardForecasts
walkForwardOrigins
walkForwardSteps
walkForwardValidation
weighForecasts
weightedForecast
Settings
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Classes
Garch
Input
Error
Type Aliases
As
Of
Fit
Baseline
Coverage
Test
Dcc
Asset
Spec
Dcc
Fit
Dcc
Forecast
Dcc
Options
Diebold
Mariano
Diebold
Mariano
Options
Distribution
Exogenous
Fit
At
Fit
Options
Fits
At
Request
Forecasts
Request
Garch
Fit
Garch
Mode
Garch
Model
Garch
Params
Inference
Job
Name
Job
Request
Job
Result
Mean
Model
Model
Spec
Portfolio
Tail
Risk
Portfolio
Tail
Risk
Request
Quantization
Options
Rival
Mode
Scored
Origin
Simulation
Simulation
Request
Tail
Risk
Test
Result
Validation
Validation
Options
Var
Backtest
Var
Backtest
Options
Volatility
Forecast
Volatility
Forecast
Request
Walk
Forward
Step
Weighted
Forecast
Weighted
Forecast
Request
Weighted
Model
Weighted
Origin
Window
Variables
EGARCH_
ABS_
MEAN
SEGMENT_
ORIGINS
T_
NU_
MIN
WEIGHT_
BURN_
IN
WEIGHTED_
MODELS
Functions
arch
Lm
as
Of
Fit
backcast
chi
Square
Survival
compare
Validations
coverage
Test
dcc
Forecast
diebold
Mariano
digamma
down
Share
egarch
Forecast
egarch
Log
Likelihood
egarch
Log
Likelihood
Gradient
exogenous
Backcast
extend
Fit
filtered
Tail
Risk
fit
Dcc
fit
Garch
fits
At
forecast
Variance
ljung
Box
log
Gamma
log
Likelihood
log
Likelihood
Gradient
normal
Cdf
normal
Quantile
overlap
Of
persistence
portfolio
Tail
Risk
portfolio
Variance
qlike
quantized
Until
realized
Variance
score
Walk
Forward
segments
simulate
simulated
Tail
Risk
skew
Down
Share
skew
Partial
Moments
skew
Quantile
standardized
Residuals
student
Cdf
student
Quantile
tail
Risk
two
Sided
P
Value
validation
Windows
var
Backtest
volatility
Forecast
walk
Forward
Forecasts
walk
Forward
Origins
walk
Forward
Steps
walk
Forward
Validation
weigh
Forecasts
weighted
Forecast
@krzysztofsztompka/garch
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