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rugarch (version 1.0-1)
Univariate GARCH models
Description
ARFIMA, in-mean, external regressors and various GARCH flavours, with methods for fit, forecast, simulation, inference and plotting.
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Install
install.packages('rugarch')
Monthly Downloads
12,560
Version
1.0-1
License
GPL-3
Maintainer
Alexios Ghalanos
Last Published
September 10th, 2011
Functions in rugarch (1.0-1)
Search functions
GARCHboot-class
class: GARCH Bootstrap Class
ForwardDates-methods
function: Generate Future Dates
GARCHfilter-class
class: GARCH Filter Class
GARCHsim-class
class: GARCH Simulation Class
ARFIMAsim-class
class: ARFIMA Simulation Class
GARCHroll-class
class: GARCH Roll Class
ARFIMA-class
class: High Level ARFIMA class
ugarchpath-methods
function: Univariate GARCH Path Simulation
ARFIMAroll-class
class: ARFIMA Rolling Forecast Class
ARFIMAdistribution-class
class: ARFIMA Parameter Distribution Class
ugarchfilter-methods
function: Univariate GARCH Filtering
ARFIMAmultispec-class
class: ARFIMA Multiple Specification Class
arfimaroll-methods
function: ARFIMA Rolling Density Forecast and Backtesting
ARFIMAmultifilter-class
class: ARFIMA Multiple Filter Class
dji30ret
data: Dow Jones 30 Constituents Closing Value Log Return
uGARCHspec-class
class: Univariate GARCH Specification Class
uGARCHmultifilter-class
class: Univariate GARCH Multiple Filter Class
arfimaspec-methods
function: ARFIMA Specification
WeekDayDummy-methods
function: Create Dummy Day-of-Week Variable
arfimafit-methods
function: ARFIMA Fit
ugarchbench
Benchmark: The Benchmark Test Suite
uGARCHsim-class
class: Univariate GARCH Simulation Class
GARCHtests-class
class: GARCH Tests Class
uGARCHdistribution-class
class: Univariate GARCH Parameter Distribution Class
rugarch-package
The rugarch package
HLTest
The Non-Parametric Density Test of Hong and Li
GARCHdistribution-class
class: GARCH Parameter Distribution Class
sp500ret
data: Standard and Poors 500 Closing Value Log Return
uGARCHmultispec-class
class: Univariate GARCH Multiple Specification Class
ARFIMAmultifit-class
class: ARFIMA Multiple Fit Class
rGARCH-class
class: rGARCH Class
ARFIMAspec-class
class: ARFIMA Specification Class
multispec-methods
function: Univariate multiple GARCH Specification
arfimasim-methods
function: ARFIMA Simulation
DACTest
Directional Accuracy Test
ugarchboot-methods
function: Univariate GARCH Forecast via Bootstrap
arfimaforecast-methods
function: ARFIMA Forecasting
GARCHforecast-class
class: GARCH Forecast Class
uGARCHfit-class
class: Univariate GARCH Fit Class
uGARCHmultiforecast-class
class: Univariate GARCH Multiple Forecast Class
dmbp
data: Deutschemark/British pound Exchange Rate
uGARCHpath-class
class: Univariate GARCH Path Simulation Class
ugarchfit-methods
function: Univariate GARCH Fitting
VaRTest
Value at Risk Exceedances Test
BerkowitzTest
Berkowitz Density Forecast Likelihood Ratio Test
multiforecast-methods
function: Univariate GARCH and ARFIMA Multiple Forecasting
uGARCHboot-class
class: Univariate GARCH Bootstrap Class
arfimafilter-methods
function: ARFIMA Filtering
ARFIMAfit-class
class: ARFIMA Fit Class
GARCHfit-class
class: GARCH Fit Class
ugarchforecast-methods
function: Univariate GARCH Forecasting
autoarfima
Automatic Model Selection for ARFIMA models
ghyptransform
Distribution: Generalized Hyperbolic Transformation and Scaling
ugarchdistribution-methods
function: Univariate GARCH Parameter Distribution via Simulation
ugarchroll-methods
function: Univariate GARCH Rolling Density Forecast and Backtesting
uGARCHmultifit-class
class: Univariate GARCH Multiple Fit Class
arfimadistribution-methods
function: ARFIMA Parameter Distribution via Simulation
GARCHspec-class
class: GARCH Spec Class
arfimapath-methods
function: ARFIMA Path Simulation
GMMTest
The GMM Orthogonality Test of Hansen
uGARCHforecast-class
class: Univariate GARCH Forecast Class
GARCHpath-class
class: GARCH Path Simulation Class
ARFIMAforecast-class
class: ARFIMA Forecast Class
ugarchsim-methods
function: Univariate GARCH Simulation
ugarchspec-methods
function: Univariate GARCH Specification
ARFIMAmultiforecast-class
class: ARFIMA Multiple Forecast Class
uGARCHfilter-class
class: Univariate GARCH Filter Class
ARFIMApath-class
class: ARFIMA Path Simulation Class
VaRDurTest
VaR Duration Test
uGARCHroll-class
class: Univariate GARCH Rolling Forecast Class
rgarchdist
Distribution: rugarch distribution functions
ESTest
Expected Shortfall Test.
ARFIMAfilter-class
class: ARFIMA Filter Class
multifilter-methods
function: Univariate GARCH and ARFIMA Multiple Filtering
multifit-methods
function: Univariate GARCH and ARFIMA Multiple Fitting
BerkowitzLR
Berkowitz Density Forecast Likelihood Ratio Test