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rugarch (version 1.0-12)

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

1.0-12

License

GPL-3

Maintainer

Alexios Ghalanos

Last Published

October 29th, 2012

Functions in rugarch (1.0-12)

arfimapath-methods

function: ARFIMA Path Simulation
multiforecast-methods

function: Univariate GARCH and ARFIMA Multiple Forecasting
GARCHdistribution-class

class: GARCH Parameter Distribution Class
DACTest

Directional Accuracy Test
ARFIMAroll-class

class: ARFIMA Rolling Forecast Class
ugarchboot-methods

function: Univariate GARCH Forecast via Bootstrap
GARCHforecast-class

class: GARCH Forecast Class
arfimasim-methods

function: ARFIMA Simulation
dji30ret

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

class: ARFIMA Multiple Fit Class
ugarchpath-methods

function: Univariate GARCH Path Simulation
ugarchroll-methods

function: Univariate GARCH Rolling Density Forecast and Backtesting
ARFIMAfilter-class

class: ARFIMA Filter Class
ugarchspec-methods

function: Univariate GARCH Specification
arfimaforecast-methods

function: ARFIMA Forecasting
arfimafilter-methods

function: ARFIMA Filtering
BerkowitzTest

Berkowitz Density Forecast Likelihood Ratio Test
GMMTest

The GMM Orthogonality Test of Hansen
ugarchforecast-methods

function: Univariate GARCH Forecasting
GARCHsim-class

class: GARCH Simulation Class
rGARCH-class

class: rGARCH Class
uGARCHmultifilter-class

class: Univariate GARCH Multiple Filter Class
ARFIMA-class

class: High Level ARFIMA class
VaRTest

Value at Risk Exceedances Test
GARCHspec-class

class: GARCH Spec Class
multispec-methods

function: Univariate multiple GARCH Specification
ARFIMAmultispec-class

class: ARFIMA Multiple Specification Class
arfimadistribution-methods

function: ARFIMA Parameter Distribution via Simulation
uGARCHfilter-class

class: Univariate GARCH Filter Class
ARFIMAforecast-class

class: ARFIMA Forecast Class
arfimafit-methods

function: ARFIMA Fit
uGARCHmultispec-class

class: Univariate GARCH Multiple Specification Class
rgarchdist

Distribution: rugarch distribution functions
ARFIMAdistribution-class

class: ARFIMA Parameter Distribution Class
ugarchdistribution-methods

function: Univariate GARCH Parameter Distribution via Simulation
ARFIMAfit-class

class: ARFIMA Fit Class
VaRDurTest

VaR Duration Test
HLTest

The Non-Parametric Density Test of Hong and Li
sp500ret

data: Standard and Poors 500 Closing Value Log Return
GARCHfit-class

class: GARCH Fit Class
arfimaroll-methods

function: ARFIMA Rolling Density Forecast and Backtesting
GARCHpath-class

class: GARCH Path Simulation Class
uGARCHforecast-class

class: Univariate GARCH Forecast Class
uGARCHmultiforecast-class

class: Univariate GARCH Multiple Forecast Class
ARFIMAmultifilter-class

class: ARFIMA Multiple Filter Class
GARCHtests-class

class: GARCH Tests Class
uGARCHdistribution-class

class: Univariate GARCH Parameter Distribution Class
ugarchfilter-methods

function: Univariate GARCH Filtering
uGARCHmultifit-class

class: Univariate GARCH Multiple Fit Class
ESTest

Expected Shortfall Test.
ForwardDates-methods

function: Generate Future Dates
GARCHboot-class

class: GARCH Bootstrap Class
GARCHfilter-class

class: GARCH Filter Class
multifit-methods

function: Univariate GARCH and ARFIMA Multiple Fitting
arfimaspec-methods

function: ARFIMA Specification
uGARCHsim-class

class: Univariate GARCH Simulation Class
uGARCHpath-class

class: Univariate GARCH Path Simulation Class
ugarchfit-methods

function: Univariate GARCH Fitting
ARFIMApath-class

class: ARFIMA Path Simulation Class
dmbp

data: Deutschemark/British pound Exchange Rate
ARFIMAmultiforecast-class

class: ARFIMA Multiple Forecast Class
uGARCHboot-class

class: Univariate GARCH Bootstrap Class
multifilter-methods

function: Univariate GARCH and ARFIMA Multiple Filtering
WeekDayDummy-methods

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

class: Univariate GARCH Fit Class
rugarch-package

The rugarch package
uGARCHspec-class

class: Univariate GARCH Specification Class
autoarfima

Automatic Model Selection for ARFIMA models
ghyptransform

Distribution: Generalized Hyperbolic Transformation and Scaling
ARFIMAspec-class

class: ARFIMA Specification Class
ARFIMAsim-class

class: ARFIMA Simulation Class
ugarchbench

Benchmark: The Benchmark Test Suite
GARCHroll-class

class: GARCH Roll Class
uGARCHroll-class

class: Univariate GARCH Rolling Forecast Class
ugarchsim-methods

function: Univariate GARCH Simulation