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rmgarch (version 1.4-2)

Multivariate GARCH Models

Description

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

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Install

install.packages('rmgarch')

Monthly Downloads

3,871

Version

1.4-2

License

GPL-3

Issues

0

Pull Requests

0

Stars

15

Forks

6

Maintainer

Alexios Ghalanos

Last Published

August 31st, 2025

Functions in rmgarch (1.4-2)

dccforecast-methods

function: DCC-GARCH Forecast
dccroll-methods

function: DCC-GARCH Rolling Forecast
cGARCHspec-class

class: Copula Specification Class
dccfilter-methods

function: DCC-GARCH Filter
cgarchfit-methods

function: Copula-GARCH Fit
cgarchfilter-methods

function: Copula-GARCH Filter
cordist

A Correlation Distance Measure
cgarchspec-methods

function: Copula-GARCH Specification
dccfit-methods

function: DCC-GARCH Fit
cgarchsim-methods

function: Copula-GARCH Simulation
fMoments-class

Class "fMoments"
goGARCHfft-class

Class: GO-GARCH portfolio density
dji30retw

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

function: DCC-GARCH Specification
fmoments-methods

Moment Based Forecast Generation
dccsim-methods

function: DCC-GARCH Simulation
fScenario-class

Class "fScenario"
fastica

Fast Fixed Point ICA
fscenario-methods

Scenario Generation
goGARCHfilter-class

class: GO-GARCH Filter Class
goGARCHfit-class

class: GO-GARCH Fit Class
gogarchfit-methods

function: GO-GARCH Filter
goGARCHroll-class

class: GO-GARCH Roll Class
gogarchforecast-methods

function: GO-GARCH Forecast
goGARCHsim-class

class: GO-GARCH Simulation Class
mGARCHroll-class

Class: Multivariate GARCH Roll Class
goload-methods

Load Scenario from File
mGARCHsim-class

Class: Multivariate GARCH Simulation Class
gogarchspec-methods

function: GO-GARCH Specification
goGARCHforecast-class

class: GO-GARCH Forecast Class
goGARCHspec-class

class: GO-GARCH Specification Class
last-methods

First and Last methods for accessing objects
mGARCHfilter-class

Class: Multivariate GARCH Filter Class
mGARCHfit-class

Class: Multivariate GARCH Fit Class
gogarchfilter-methods

function: GO-GARCH Filter
mGARCHforecast-class

Class: Multivariate GARCH Forecast Class
rmgarch-package

The rmgarch package
varxfit

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

Class: Multivariate GARCH Specification
gogarchroll-methods

function: GO-GARCH Rolling Estimation
gogarchsim-methods

function: GO-GARCH Simulation
radical

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

Weighted Distribution Margin
cGARCHfit-class

class: Copula Fit Class
cGARCHsim-class

class: Copula Simulation Class
cGARCHfilter-class

class: Copula Filter Class
DCCspec-class

class: DCC Specification Class
DCCsim-class

class: DCC Simulation Class
DCCtest

Engle and Sheppard Test of Dynamic Correlation
DCCroll-class

class: DCC Roll Class
DCCfit-class

class: DCC Fit Class
DCCfilter-class

class: DCC Filter Class
DCCforecast-class

class: DCC Forecast Class