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This paper illustrates the usage of the betategarch package, a package for the simulation, 1 estimation and forecasting of Beta-Skew-t-EGARCH models. The Beta-Skew-t-EGARCH model is 2 a dynamic model of the scale or volatility of financial returns. The model is characterised by its 3 robustness to jumps or outliers, and by its exponential specification of volatility. The latter enables 4 richer dynamics, since parameters need not be restricted to be positive to ensure positivity of volatility. 5 In addition, the model also allows for heavy tails and skewness in the conditional return (i.e. scaled 6 return), and for leverage and a time-varying long-term component in the volatility specification. More 7 generally, the model can be viewed as a model of the scale of the error in a dynamic regression. 8

betategarch: Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models