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rmgarch (version 1.2-9)

Multivariate GARCH Models

Description

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

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Version

Install

install.packages('rmgarch')

Monthly Downloads

7,643

Version

1.2-9

License

GPL-3

Maintainer

Alexios Ghalanos

Last Published

July 2nd, 2015

Functions in rmgarch (1.2-9)

dccroll-methods

function: DCC-GARCH Rolling Forecast
cGARCHspec-class

class: Copula Specification Class
dccfit-methods

function: DCC-GARCH Fit
DCCtest

Engle and Sheppard Test of Dynamic Correlation
dji30retw

data: Dow Jones 30 Constituents Closing Value log Weekly Return
cgarchspec-methods

function: Copula-GARCH Specification
cGARCHfilter-class

class: Copula Filter Class
cGARCHsim-class

class: Copula Simulation Class
fMoments-class

Class "fMoments"
cordist

A Correlation Distance Measure
dccfilter-methods

function: DCC-GARCH Filter
dccsim-methods

function: DCC-GARCH Simulation
cgarchsim-methods

function: Copula-GARCH Simulation
goGARCHsim-class

class: GO-GARCH Simultion Class
cgarchfilter-methods

function: Copula-GARCH Filter
cGARCHfit-class

class: Copula Fit Class
fastica

Fast Fixed Point ICA
DCCforecast-class

class: DCC Forecast Class
DCCspec-class

class: DCC Specification Class
gogarchspec-methods

function: GO-GARCH Specification
fscenario-methods

Scenario Generation
goGARCHroll-class

class: GO-GARCH Roll Class
gogarchroll-methods

function: GO-GARCH Rolling Estimation
DCCsim-class

class: DCC Forecast Class
dccforecast-methods

function: DCC-GARCH Forecast
dccspec-methods

function: DCC-GARCH Specification
fScenario-class

Class "fScenario"
last-methods

First and Last methods for accessing objects
gogarchfit-methods

function: GO-GARCH Filter
gogarchforecast-methods

function: GO-GARCH Forecast
mGARCHfilter-class

Class: Multivariate GARCH Filter Class
goGARCHfft-class

Class: GO-GARCH portfolio density
goGARCHspec-class

class: GO-GARCH Specification Class
goload-methods

Load Scenario from File
goGARCHfilter-class

class: GO-GARCH Filter Class
goGARCHforecast-class

class: GO-GARCH Forecast Class
gogarchfilter-methods

function: GO-GARCH Filter
cgarchfit-methods

function: Copula-GARCH Fit
DCCroll-class

class: DCC Roll Class
mGARCHspec-class

Class: Multivariate GARCH Specification
mGARCHsim-class

Class: Multivariate GARCH Simulation Class
mGARCHfit-class

Class: Multivariate GARCH Fit Class
mGARCHroll-class

Class: Multivariate GARCH Roll Class
mGARCHforecast-class

Class: Multivariate GARCH Forecast Class
radical

The Robust Accurate, Direct ICA aLgorithm (RADICAL).
wmargin

Weighted Distribution Margin
varxfit

VARX Fit/Filter/Forecast/Simulation Functions
DCCfilter-class

class: DCC Filter Class
DCCfit-class

class: DCC Fit Class
fmoments-methods

Moment Based Forecast Generation
gogarchsim-methods

function: GO-GARCH Simulation
rmgarch-package

The rmgarch package
goGARCHfit-class

class: GO-GARCH Fit Class