Multiple Change-Point Detection for High-Dimensional GARCH Processes

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Documentation for package ‘segMGarch’ version 1.3

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segMGarch-package Multiple Change-Point Detection for High-Dimensional GARCH Processes
DQtest A regression-based test to backtest VaR models proposed by Engle and Manganelli (2004)
DQtest-class A regression-based test to backtest VaR models proposed by Engle and Manganelli (2004)
DQtest-method A regression-based test to backtest VaR models proposed by Engle and Manganelli (2004)
DQtest-methods A regression-based test to backtest VaR models proposed by Engle and Manganelli (2004)
garch.seg An S4 method to detect the change-points in a high-dimensional GARCH process.
garch.seg-class An S4 method to detect the change-points in a high-dimensional GARCH process.
garch.seg-method An S4 method to detect the change-points in a high-dimensional GARCH process.
garch.seg-methods An S4 method to detect the change-points in a high-dimensional GARCH process.
gen_pc_coef A method to generate piecewise constant coefficients
gen_pc_coef-class A method to generate piecewise constant coefficients
gen_pc_coef-method A method to generate piecewise constant coefficients
gen_pc_coef-methods A method to generate piecewise constant coefficients
kupiec Method to backtest VaR violation using the Kupiec statistics
kupiec-class Method to backtest VaR violation using the Kupiec statistics
kupiec-method Method to backtest VaR violation using the Kupiec statistics
kupiec-methods Method to backtest VaR violation using the Kupiec statistics
pc_cccsim A method to simulate nonstationary high-dimensional CCC GARCH models.
pc_cccsim-class A method to simulate nonstationary high-dimensional CCC GARCH models.
pc_cccsim-method A method to simulate nonstationary high-dimensional CCC GARCH models.
pc_cccsim-methods A method to simulate nonstationary high-dimensional CCC GARCH models.
pc_Sigma Method to simulate correlated variables with change-points
pc_Sigma-class Method to simulate correlated variables with change-points
pc_Sigma-method Method to simulate correlated variables with change-points
pc_Sigma-methods Method to simulate correlated variables with change-points
segMGarch Multiple Change-Point Detection for High-Dimensional GARCH Processes
simMGarch-class An S4 class for a nonstationary CCC model.
TL Method to backtest VaR violation using the Traffic Light (TL) approach of Basel
TL-class Method to backtest VaR violation using the Traffic Light (TL) approach of Basel
TL-method Method to backtest VaR violation using the Traffic Light (TL) approach of Basel
TL-methods Method to backtest VaR violation using the Traffic Light (TL) approach of Basel
tvMGarch-class An S4 class for a nonstationary multivariate class model.