Time-Varying Garch Models Through a State-Space Representation
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Documentation for package ‘tvGarchKF’ version 1.0.0
Help Pages
| auto.tvGarchKF | Automatic selection of tuning parameters for non-parametric tv-GARCH estimation |
| fitted-method | Fitted method. |
| indipsa | Selective Stock Price Index |
| nobs-method | Number of Observations |
| plot-method | Plot method for 'tvGarchKF', 'tvGarchKFNonParam' and 'tvGarchKFNonParam_Fit' objects. |
| predict-method | Forecast conditional volatility from a tv-GARCH model. |
| residuals-method | Residuals method. |
| summary-method | Summary method. |
| tvGarchKalmanFit | Estimate a tv-GARCH(1,1) by using the Kalman Filter. |
| tvGarchKalmanLoglike | Models tv-Garch Filter Kalman LogLikehood. |
| tvGarchKalmanPrint | Models tv-Garch Filter Kalman print outputs. |
| tvGarchKF-class | Clase tvGarchKF |
| tvGarchKFNonParam-class | Clase tvGarchKFNonParam |
| tvGarchKFNonParam_Fit-class | Clase tvGarchKFNonParam |
| tvGarchNonParamFit | EStimate tv-GARCH(1,1) parameter curves using non-parametric smoothing methods. |
| tvGarchNonParamKF | Kalman Filter estimation with non-parametric tv-GARCH parameters. |
| tvGarch_Sim | Generating Simulations using a tv-Garch Model |
| tvParameter | Estimate the local structure of tv-GARCH(1,1) parameters. |
| vcov-method | Vcov method. |