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rmgarch (version 1.4-3)

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

2,091

Version

1.4-3

License

GPL-3

Issues

0

Pull Requests

0

Stars

18

Forks

8

Maintainer

Alexios Ghalanos

Last Published

September 13th, 2026

Functions in rmgarch (1.4-3)

cGARCHsim-class

class: Copula Simulation Class
cGARCHfit-class

class: Copula Fit Class
cgarchsim-methods

function: Copula-GARCH Simulation
cordist

A Correlation Distance Measure
cgarchfit-methods

function: Copula-GARCH Fit
dccroll-methods

function: DCC-GARCH Rolling Forecast
cgarchspec-methods

function: Copula-GARCH Specification
cGARCHspec-class

class: Copula Specification Class
dccforecast-methods

function: DCC-GARCH Forecast
cgarchfilter-methods

function: Copula-GARCH Filter
dccfilter-methods

function: DCC-GARCH Filter
dccfit-methods

function: DCC-GARCH Fit
dji30retw

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

function: DCC-GARCH Simulation
goGARCHfilter-class

class: GO-GARCH Filter Class
fScenario-class

Class "fScenario"
fastica

Fast Fixed Point ICA
fmoments-methods

Moment Based Forecast Generation
fscenario-methods

Scenario Generation
goGARCHfft-class

Class: GO-GARCH portfolio density
fMoments-class

Class "fMoments"
dccspec-methods

function: DCC-GARCH Specification
goGARCHfit-class

class: GO-GARCH Fit Class
gogarchsim-methods

function: GO-GARCH Simulation
goGARCHroll-class

class: GO-GARCH Roll Class
gogarchroll-methods

function: GO-GARCH Rolling Estimation
gogarchfilter-methods

function: GO-GARCH Filter
goGARCHforecast-class

class: GO-GARCH Forecast Class
gogarchforecast-methods

function: GO-GARCH Forecast
gogarchfit-methods

function: GO-GARCH Filter
goGARCHspec-class

class: GO-GARCH Specification Class
goGARCHsim-class

class: GO-GARCH Simulation Class
mGARCHfilter-class

Class: Multivariate GARCH Filter Class
last-methods

First and Last methods for accessing objects
mGARCHsim-class

Class: Multivariate GARCH Simulation Class
mGARCHforecast-class

Class: Multivariate GARCH Forecast Class
mGARCHroll-class

Class: Multivariate GARCH Roll Class
mGARCHspec-class

Class: Multivariate GARCH Specification
goload-methods

Load Scenario from File
radical

The Robust Accurate, Direct ICA aLgorithm (RADICAL).
mGARCHfit-class

Class: Multivariate GARCH Fit Class
gogarchspec-methods

function: GO-GARCH Specification
rmgarch-package

The rmgarch package
varxfit

VARX Fit/Filter/Forecast/Simulation Functions
wmargin

Weighted Distribution Margin
DCCforecast-class

class: DCC Forecast Class
DCCspec-class

class: DCC Specification Class
DCCfilter-class

class: DCC Filter Class
DCCroll-class

class: DCC Roll Class
DCCsim-class

class: DCC Simulation Class
DCCfit-class

class: DCC Fit Class
cGARCHfilter-class

class: Copula Filter Class
DCCtest

Engle and Sheppard Test of Dynamic Correlation