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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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Version

Install

install.packages('rugarch')

Monthly Downloads

22,201

Version

1.0-1

License

GPL-3

Maintainer

Alexios Ghalanos

Last Published

September 10th, 2011

Functions in rugarch (1.0-1)

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