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rugarch (version 1.0-11)

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

46,709

Version

1.0-11

License

GPL-3

Maintainer

Alexios Ghalanos

Last Published

August 23rd, 2012

Functions in rugarch (1.0-11)

ARFIMAmultifilter-class

class: ARFIMA Multiple Filter Class
uGARCHpath-class

class: Univariate GARCH Path Simulation Class
VaRDurTest

VaR Duration Test
ARFIMAdistribution-class

class: ARFIMA Parameter Distribution Class
ARFIMAspec-class

class: ARFIMA Specification Class
arfimapath-methods

function: ARFIMA Path Simulation
GARCHtests-class

class: GARCH Tests Class
ARFIMAmultispec-class

class: ARFIMA Multiple Specification Class
ugarchpath-methods

function: Univariate GARCH Path Simulation
ugarchfilter-methods

function: Univariate GARCH Filtering
uGARCHsim-class

class: Univariate GARCH Simulation Class
ghyptransform

Distribution: Generalized Hyperbolic Transformation and Scaling
GMMTest

The GMM Orthogonality Test of Hansen
ESTest

Expected Shortfall Test.
ARFIMApath-class

class: ARFIMA Path Simulation Class
GARCHfit-class

class: GARCH Fit Class
sp500ret

data: Standard and Poors 500 Closing Value Log Return
rgarchdist

Distribution: rugarch distribution functions
GARCHsim-class

class: GARCH Simulation Class
uGARCHfit-class

class: Univariate GARCH Fit Class
multifilter-methods

function: Univariate GARCH and ARFIMA Multiple Filtering
autoarfima

Automatic Model Selection for ARFIMA models
ugarchboot-methods

function: Univariate GARCH Forecast via Bootstrap
ARFIMAforecast-class

class: ARFIMA Forecast Class
GARCHforecast-class

class: GARCH Forecast Class
uGARCHfilter-class

class: Univariate GARCH Filter Class
ugarchforecast-methods

function: Univariate GARCH Forecasting
GARCHdistribution-class

class: GARCH Parameter Distribution Class
DACTest

Directional Accuracy Test
GARCHpath-class

class: GARCH Path Simulation Class
arfimaroll-methods

function: ARFIMA Rolling Density Forecast and Backtesting
ARFIMAfit-class

class: ARFIMA Fit Class
uGARCHmultifit-class

class: Univariate GARCH Multiple Fit Class
ARFIMAmultiforecast-class

class: ARFIMA Multiple Forecast Class
uGARCHdistribution-class

class: Univariate GARCH Parameter Distribution Class
GARCHroll-class

class: GARCH Roll Class
ARFIMAfilter-class

class: ARFIMA Filter Class
ARFIMAmultifit-class

class: ARFIMA Multiple Fit Class
uGARCHforecast-class

class: Univariate GARCH Forecast Class
BerkowitzTest

Berkowitz Density Forecast Likelihood Ratio Test
ugarchspec-methods

function: Univariate GARCH Specification
ForwardDates-methods

function: Generate Future Dates
GARCHspec-class

class: GARCH Spec Class
arfimafit-methods

function: ARFIMA Fit
arfimadistribution-methods

function: ARFIMA Parameter Distribution via Simulation
HLTest

The Non-Parametric Density Test of Hong and Li
uGARCHmultifilter-class

class: Univariate GARCH Multiple Filter Class
multifit-methods

function: Univariate GARCH and ARFIMA Multiple Fitting
ugarchsim-methods

function: Univariate GARCH Simulation
ARFIMAsim-class

class: ARFIMA Simulation Class
uGARCHmultispec-class

class: Univariate GARCH Multiple Specification Class
rugarch-package

The rugarch package
WeekDayDummy-methods

function: Create Dummy Day-of-Week Variable
uGARCHmultiforecast-class

class: Univariate GARCH Multiple Forecast Class
uGARCHboot-class

class: Univariate GARCH Bootstrap Class
ugarchfit-methods

function: Univariate GARCH Fitting
multispec-methods

function: Univariate multiple GARCH Specification
ARFIMA-class

class: High Level ARFIMA class
GARCHfilter-class

class: GARCH Filter Class
arfimaforecast-methods

function: ARFIMA Forecasting
ugarchdistribution-methods

function: Univariate GARCH Parameter Distribution via Simulation
arfimasim-methods

function: ARFIMA Simulation
uGARCHspec-class

class: Univariate GARCH Specification Class
VaRTest

Value at Risk Exceedances Test
dmbp

data: Deutschemark/British pound Exchange Rate
ARFIMAroll-class

class: ARFIMA Rolling Forecast Class
GARCHboot-class

class: GARCH Bootstrap Class
ugarchroll-methods

function: Univariate GARCH Rolling Density Forecast and Backtesting
arfimaspec-methods

function: ARFIMA Specification
multiforecast-methods

function: Univariate GARCH and ARFIMA Multiple Forecasting
arfimafilter-methods

function: ARFIMA Filtering
uGARCHroll-class

class: Univariate GARCH Rolling Forecast Class
dji30ret

data: Dow Jones 30 Constituents Closing Value Log Return
rGARCH-class

class: rGARCH Class
ugarchbench

Benchmark: The Benchmark Test Suite