Package: ghyp 1.6.5

ghyp: Generalized Hyperbolic Distribution and Its Special Cases

Detailed functionality for working with the univariate and multivariate Generalized Hyperbolic distribution and its special cases (Hyperbolic (hyp), Normal Inverse Gaussian (NIG), Variance Gamma (VG), skewed Student-t and Gaussian distribution). Especially, it contains fitting procedures, an AIC-based model selection routine, and functions for the computation of density, quantile, probability, random variates, expected shortfall and some portfolio optimization and plotting routines as well as the likelihood ratio test. In addition, it contains the Generalized Inverse Gaussian distribution. See Chapter 3 of A. J. McNeil, R. Frey, and P. Embrechts. Quantitative risk management: Concepts, techniques and tools. Princeton University Press, Princeton (2005).

Authors:Marc Weibel [aut, cre], David Luethi [aut], Henriette-Elise Breymann [aut]

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ghyp.pdf |ghyp.html✨
ghyp/json (API)

# Install 'ghyp' in R:
install.packages('ghyp', repos = c('https://quantsulting.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • indices - Monthly returns of five indices
  • smi.stocks - Daily returns of five swiss blue chips and the SMI

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

5.56 score 7 packages 90 scripts 1.3k downloads 1 mentions 64 exports 2 dependencies

Last updated 2 months agofrom:449d65c62a. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 26 2024
R-4.5-win-x86_64OKOct 26 2024
R-4.5-linux-x86_64OKOct 26 2024
R-4.4-win-x86_64OKOct 26 2024
R-4.4-mac-x86_64OKOct 26 2024
R-4.4-mac-aarch64OKOct 26 2024
R-4.3-win-x86_64OKOct 26 2024
R-4.3-mac-x86_64OKOct 26 2024
R-4.3-mac-aarch64OKOct 26 2024

Exports:AICcoefcoefficientscontributiondghypdgigEgigESghypESghyp.attributionESgigfit.gaussmvfit.gaussuvfit.ghypmvfit.ghypuvfit.hypmvfit.hypuvfit.NIGmvfit.NIGuvfit.tmvfit.tuvfit.VGmvfit.VGuvgaussghypghyp.adghyp.dataghyp.dimghyp.fit.infoghyp.kurtosisghyp.momentghyp.nameghyp.omegaghyp.skewnesshisthyphyp.adlik.ratio.testlineslogLikmeanNIGNIG.adpairspghyppgigplotportfolio.optimizeqghypqgigqqghyprghyprgigscalesensitivityshowstepAIC.ghypstudent.tstudent.t.adsummarytransformvcovVGVG.adweights

Dependencies:MASSnumDeriv

Generalized Hyperbolic Distribution

Rendered fromGeneralized_Hyperbolic_Distribution.Rnwusingutils::Sweaveon Oct 26 2024.

Last update: 2024-08-27
Started: 2013-02-04

Readme and manuals

Help Manual

Help pageTopics
A package on the generalized hyperbolic distribution and its special casesghyp-package
Extract parameters of generalized hyperbolic distribution objectscoef,ghyp-method coef.ghyp coefficients,ghyp-method
Risk attribution.ESghyp.attribution
Fitting generalized hyperbolic distributions to multivariate datafit.gaussmv fit.ghypmv fit.hypmv fit.NIGmv fit.tmv fit.VGmv
Fitting generalized hyperbolic distributions to univariate datafit.gaussuv fit.ghypuv fit.hypuv fit.NIGuv fit.tuv fit.VGuv
Create generalized hyperbolic distribution objectsgauss ghyp ghyp.ad hyp hyp.ad NIG NIG.ad student.t student.t.ad VG VG.ad
The Generalized Hyperbolic Distributiondghyp pghyp qghyp rghyp
Get methods for objects inheriting from class ghypghyp.data ghyp.dim ghyp.fit.info ghyp.name
Classes ghyp and mle.ghypghyp-class mle.ghyp-class show,ghyp-method show,mle.ghyp-method show.ghyp show.mle.ghyp
Risk and Performance MeasuresESghyp ghyp.omega
Class ghyp.attributioncontribution contribution,ghyp.attribution-method ghyp.attribution-class sensitivity sensitivity,ghyp.attribution-method weights,ghyp.attribution-method
Compute moments of generalized hyperbolic distributionsghyp.moment
The Generalized Inverse Gaussian Distributiondgig Egig ESgig pgig qgig rgig
Histogram for univariate generalized hyperbolic distributionshist,ghyp-method hist-methods hist.ghyp
Monthly returns of five indicesindices
Likelihood-ratio testlik.ratio.test
Extract Log-Likelihood and Akaike's Information CriterionAIC,mle.ghyp-method AIC.mle.ghyp logLik,mle.ghyp-method logLik.mle.ghyp
Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributionsghyp.kurtosis ghyp.skewness mean,ghyp-method mean-methods mean.ghyp vcov,ghyp-method vcov-methods vcov.ghyp
Pairs plot for multivariate generalized hyperbolic distributionspairs,ghyp-method pairs-methods pairs.ghyp
Plot univariate generalized hyperbolic densitieslines,ghyp-method lines-methods lines.ghyp plot,ghyp,missing-method plot-methods plot.ghyp
Plot ES contributionplot,ghyp.attribution,ANY-method plot.ghyp.attrib
Portfolio optimization with respect to alternative risk measuresportfolio.optimize
Quantile-Quantile Plotqqghyp
Scaling and Centering of ghyp Objectsscale,ghyp-method scale.ghyp
Daily returns of five swiss blue chips and the SMIsmi.stocks
Perform a model selection based on the AICstepAIC.ghyp
mle.ghyp summarysummary,mle.ghyp-method summary-methods summary.mle.ghyp
Linear transformation and extraction of generalized hyperbolic distributionstransform,ghyp-method transform.ghyp [,ghyp,numeric,missing,missing-method [.ghyp