Estimating a GARCHSK Model and GJRSK Model

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Documentation for package ‘GARCHSK’ version 0.1.0

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GARCHSK-package GARCHSK
GARCHSK GARCHSK
garchsk_construct This function constructs GARCHSK model of given data and parameters.
garchsk_est This function estimates GARCHSK model's parameters.
garchsk_fcst This function forcasts conditional mean,variance,skewness and kurtosis with given GARCHSK model.
garchsk_ineqfun This function is inequality equation of GARCHSK parameters used in optimization process(Rsolnp).
garchsk_lik This function calculates the log-likelihood of GARCHSK model.
GBP GBP/USD exchange rate from 1990-01-03 to 2002-5-3 from Bloomberg.
gjrsk_construct This function constructs GJRSK model of given data and parameters.
gjrsk_est This function estimates GJRSK model's parameters.
gjrsk_fcst This function forcasts conditional mean,variance,skewness and kurtosis with given GJRSK model.
gjrsk_ineqfun This function is inequality equation of GJRSK parameters used in optimization process(Rsolnp).
gjrsk_lik This function calculates the log-likelihood of GJRSK model.
kurtosis This function calculates kurtosis of given data.
skewness This function calculates skewness of given data.