vol_garch | Fits a conditional volatility model (default constant mean, GARCH(1,1), normal errors; any mean, volatility process and distribution through model) and forecasts it. | |
vol_arch_effects | Tests a return series for ARCH effects (volatility clustering) before any model is fitted: Engle’s ARCH-LM test and the Ljung-Box (McLeod-Li) test on squared returns at each lag. | |
vol_simulate | Simulates returns from a volatility model (any mean, process and distribution) at given parameters, or at parameters fitted to returns. | |
vol_distribution | Evaluates the standardized error distributions of the volatility models (normal, Student t, Hansen skewed t, generalized error) at given shape parameters: quantiles (the VaR multipliers), CDF, moments, lower partial moments (expected-shortfall building blocks), random draws or the log-likelihood of values. | |
