[Uwgarp-commits] r108 - pkg/GARPFRM/man

[noreply at r-forge.r-project.org]

Author: rossbennett34
Date: 2014-03-07 22:52:13 +0100 (Fri, 07 Mar 2014)
New Revision: 108

Added:
   pkg/GARPFRM/man/forecast.Rd
   pkg/GARPFRM/man/getFit.Rd
   pkg/GARPFRM/man/plot.uvGARCH.Rd
   pkg/GARPFRM/man/uvGARCH.Rd
Modified:
   pkg/GARPFRM/man/garch11.Rd
Log:
Updating and adding documentation for GARCH

Added: pkg/GARPFRM/man/forecast.Rd
===================================================================
--- pkg/GARPFRM/man/forecast.Rd	                        (rev 0)
+++ pkg/GARPFRM/man/forecast.Rd	2014-03-07 21:52:13 UTC (rev 108)
@@ -0,0 +1,33 @@
+\name{forecast}
+\alias{forecast}
+\title{Forecast Univariate GARCH Models}
+\usage{
+  forecast(garch, nAhead = 10, nRoll = 0,
+    externalForecasts = NULL, ...)
+}
+\arguments{
+  \item{garch}{GARCH model fit via \code{uvGARCH}}
+
+  \item{nAhead}{number of steps ahead to forecast}
+
+  \item{nRoll}{number of rolling forecasts}
+
+  \item{externalForecasts}{named list of external
+  regressors in the mean and/or variance equations}
+
+  \item{\dots}{additional parameters passed to
+  \code{ugarchforecast}}
+}
+\value{
+  a uGARCHforecast object with the GARCH forecast data
+}
+\description{
+  Forecasting for GARCH models fit via \code{uvGARCH}
+}
+\note{
+  For rolling forecasts specified with the \code{nRoll}
+  argument, the GARCH model must be fit with
+  \code{outSample} argument greater than or equal to
+  \code{nRoll}.
+}
+

Modified: pkg/GARPFRM/man/garch11.Rd
===================================================================
--- pkg/GARPFRM/man/garch11.Rd	2014-03-07 21:50:57 UTC (rev 107)
+++ pkg/GARPFRM/man/garch11.Rd	2014-03-07 21:52:13 UTC (rev 108)
@@ -1,11 +1,11 @@
 \name{garch11}
 \alias{garch11}
-\title{GARCH(1,1)}
+\title{GARCH Models}
 \usage{
   garch11(R, model = "sGARCH", distribution.model = "norm")
 }
 \arguments{
-  \item{R}{GARCH(1,1)}
+  \item{R}{xts object of asset returns}
 
   \item{model}{“sGARCH”, “fGARCH”, “eGARCH”, “gjrGARCH”,
   “apARCH” and “iGARCH” and “csGARCH”}
@@ -20,6 +20,22 @@
   “jsu” for Johnson's SU distribution.}
 }
 \description{
-  Description of GARCH(1,1)
+  This function is a basic wrapper and functions in the
+  rugarch and rmgarch packages to specify and fit GARCH
+  models. The rugarch and rmgarch packages provide a rich
+  set of GARCH models. The purpose of this function is to
+  specify and fit a GARCH model while abstracting away some
+  complexities.
 }
+\details{
+  The rugarch package implements univariate garch models
+  and the rmgarch package implements multivariate garch
+  models. Univariate or multivariate data is automatically
+  detected and the appropriate GARCH model will be
+  specified and fit.
 
+  For more complete functionality of GARCH models, it is
+  recommended to directly use functions in the rugarch and
+  rmgarch packages.
+}
+

Added: pkg/GARPFRM/man/getFit.Rd
===================================================================
--- pkg/GARPFRM/man/getFit.Rd	                        (rev 0)
+++ pkg/GARPFRM/man/getFit.Rd	2014-03-07 21:52:13 UTC (rev 108)
@@ -0,0 +1,17 @@
+\name{getFit}
+\alias{getFit}
+\title{Get GARCH Model Fit}
+\usage{
+  getFit(garch)
+}
+\arguments{
+  \item{garch}{a GARCH model specification and fit created
+  with \code{uvGARCH}}
+}
+\value{
+  an object of class uGARCHfit
+}
+\description{
+  Function to extract the GARCH fit object
+}
+

Added: pkg/GARPFRM/man/plot.uvGARCH.Rd
===================================================================
--- pkg/GARPFRM/man/plot.uvGARCH.Rd	                        (rev 0)
+++ pkg/GARPFRM/man/plot.uvGARCH.Rd	2014-03-07 21:52:13 UTC (rev 108)
@@ -0,0 +1,20 @@
+\name{plot.uvGARCH}
+\alias{plot.uvGARCH}
+\title{Plot GARCH Model}
+\usage{
+  plot.uvGARCH(x, y, ..., which)
+}
+\arguments{
+  \item{x}{uvGARCH object create via \code{uvGARCH}}
+
+  \item{y}{}
+
+  \item{\dots}{additional parameters passed to plot method
+  for uGARCHfit objects}
+
+  \item{which}{plot selection}
+}
+\description{
+  Plots for fitted GARCH Models
+}
+

Added: pkg/GARPFRM/man/uvGARCH.Rd
===================================================================
--- pkg/GARPFRM/man/uvGARCH.Rd	                        (rev 0)
+++ pkg/GARPFRM/man/uvGARCH.Rd	2014-03-07 21:52:13 UTC (rev 108)
@@ -0,0 +1,56 @@
+\name{uvGARCH}
+\alias{uvGARCH}
+\title{Univariate GARCH Model}
+\usage{
+  uvGARCH(R, model = "sGARCH", garchOrder = c(1, 1),
+    armaOrder = c(1, 1), distribution = "norm",
+    fixedParams = NULL, solver = "hybrid", outSample = 0,
+    fitControl = NULL, solverControl = NULL)
+}
+\arguments{
+  \item{R}{xts object of asset returns.}
+
+  \item{model}{GARCH Model to specify and fit. Valid GARCH
+  models are “sGARCH”, “fGARCH”, “eGARCH”, “gjrGARCH”,
+  “apARCH”, “iGARCH” and “csGARCH”.}
+
+  \item{garchOrder}{the ARCH(q) and GARCH(p) orders.}
+
+  \item{armaOrder}{the autoregressive and moving average
+  orders.}
+
+  \item{distribution}{conditional density to use for the
+  innovations. Valid distributions are “norm” for the
+  normal distibution, “snorm” for the skew-normal
+  distribution, “std” for the student-t, “sstd” for the
+  skew-student, “ged” for the generalized error
+  distribution, “sged” for the skew-generalized error
+  distribution, “nig” for the normal inverse gaussian
+  distribution, “ghyp” for the Generalized Hyperbolic, and
+  “jsu” for Johnson's SU distribution.}
+
+  \item{fixedParams}{named list of parameters to keep
+  fixed.}
+
+  \item{solver}{the solver to use to fit the GARCH model.
+  Valid solvers are “nlminb”, “solnp”, “lbfgs”, “gosolnp”,
+  “nloptr” or “hybrid”}
+
+  \item{outSample}{number of periods of data used to fit
+  the model. \code{nrow(R) - outSample} number of periods
+  to keep as out of sample data points.}
+
+  \item{fitControl}{named list of arguments for the fitting
+  routine}
+
+  \item{solverControl}{named list of arguments for the
+  solver}
+}
+\value{
+  a list of length two containing GARCH specification and
+  GARCH fit objects
+}
+\description{
+  Specify and fit a univariate GARCH model
+}
+