RDocumentation
Moon
Learn R
Search all packages and functions
⚠️
There's a newer version (1.5-1) of this package.
Take me there.
rugarch (version 1.0-14)
Univariate GARCH models
Description
ARFIMA, in-mean, external regressors and various GARCH flavours, with methods for fit, forecast, simulation, inference and plotting.
Copy Link
Copy
Link to current version
Version
Version
1.5-1
1.4-9
1.4-8
1.4-7
1.4-6
1.4-4
1.4-2
1.4-1
1.4-0
1.3-8
1.3-6
1.3-4
1.3-3
1.3-1
1.2-9
1.2-7
1.2-6
1.2-2
1.02
1.0-16
1.0-14
1.0-12
1.0-11
1.0-10
1.0-9
1.0-8
1.0-7
1.0-5
1.0-4
1.0-3
1.0-2
1.0-1
Down Chevron
Install
install.packages('rugarch')
Monthly Downloads
27,656
Version
1.0-14
License
GPL-3
Maintainer
Alexios Ghalanos
Last Published
December 19th, 2012
Functions in rugarch (1.0-14)
Search functions
arfimadistribution-methods
function: ARFIMA Parameter Distribution via Simulation
GARCHdistribution-class
class: GARCH Parameter Distribution Class
WeekDayDummy-methods
function: Create Dummy Day-of-Week Variable
dji30ret
data: Dow Jones 30 Constituents Closing Value Log Return
ugarchspec-methods
function: Univariate GARCH Specification
ARFIMAfilter-class
class: ARFIMA Filter Class
uGARCHroll-class
class: Univariate GARCH Rolling Forecast Class
uGARCHsim-class
class: Univariate GARCH Simulation Class
arfimapath-methods
function: ARFIMA Path Simulation
ghyptransform
Distribution: Generalized Hyperbolic Transformation and Scaling
ugarchsim-methods
function: Univariate GARCH Simulation
GARCHfilter-class
class: GARCH Filter Class
rGARCH-class
class: rGARCH Class
rugarch-package
The rugarch package
ugarchpath-methods
function: Univariate GARCH Path Simulation
GARCHfit-class
class: GARCH Fit Class
GMMTest
The GMM Orthogonality Test of Hansen
VaRTest
Value at Risk Exceedances Test
BerkowitzTest
Berkowitz Density Forecast Likelihood Ratio Test
ARFIMAdistribution-class
class: ARFIMA Parameter Distribution Class
multifit-methods
function: Univariate GARCH and ARFIMA Multiple Fitting
HLTest
The Non-Parametric Density Test of Hong and Li
uGARCHdistribution-class
class: Univariate GARCH Parameter Distribution Class
uGARCHmultiforecast-class
class: Univariate GARCH Multiple Forecast Class
arfimafilter-methods
function: ARFIMA Filtering
uGARCHboot-class
class: Univariate GARCH Bootstrap Class
ARFIMAroll-class
class: ARFIMA Rolling Forecast Class
ForwardDates-methods
function: Generate Future Dates
sp500ret
data: Standard and Poors 500 Closing Value Log Return
ARFIMAfit-class
class: ARFIMA Fit Class
ARFIMAspec-class
class: ARFIMA Specification Class
ARFIMA-class
class: High Level ARFIMA class
arfimafit-methods
function: ARFIMA Fit
GARCHsim-class
class: GARCH Simulation Class
ugarchfilter-methods
function: Univariate GARCH Filtering
arfimaspec-methods
function: ARFIMA Specification
ugarchfit-methods
function: Univariate GARCH Fitting
ARFIMAmultiforecast-class
class: ARFIMA Multiple Forecast Class
GARCHpath-class
class: GARCH Path Simulation Class
rgarchdist
Distribution: rugarch distribution functions
GARCHroll-class
class: GARCH Roll Class
uGARCHmultifit-class
class: Univariate GARCH Multiple Fit Class
multispec-methods
function: Univariate multiple GARCH Specification
uGARCHpath-class
class: Univariate GARCH Path Simulation Class
uGARCHspec-class
class: Univariate GARCH Specification Class
ARFIMAmultifilter-class
class: ARFIMA Multiple Filter Class
arfimasim-methods
function: ARFIMA Simulation
ugarchroll-methods
function: Univariate GARCH Rolling Density Forecast and Backtesting
multiforecast-methods
function: Univariate GARCH and ARFIMA Multiple Forecasting
DACTest
Directional Accuracy Test
uGARCHfit-class
class: Univariate GARCH Fit Class
arfimaforecast-methods
function: ARFIMA Forecasting
autoarfima
Automatic Model Selection for ARFIMA models
ugarchbench
Benchmark: The Benchmark Test Suite
GARCHtests-class
class: GARCH Tests Class
ARFIMAmultispec-class
class: ARFIMA Multiple Specification Class
ugarchforecast-methods
function: Univariate GARCH Forecasting
uGARCHmultifilter-class
class: Univariate GARCH Multiple Filter Class
ARFIMAmultifit-class
class: ARFIMA Multiple Fit Class
arfimaroll-methods
function: ARFIMA Rolling Density Forecast and Backtesting
ESTest
Expected Shortfall Test.
ugarchboot-methods
function: Univariate GARCH Forecast via Bootstrap
ARFIMAsim-class
class: ARFIMA Simulation Class
GARCHboot-class
class: GARCH Bootstrap Class
uGARCHmultispec-class
class: Univariate GARCH Multiple Specification Class
uGARCHfilter-class
class: Univariate GARCH Filter Class
uGARCHforecast-class
class: Univariate GARCH Forecast Class
GARCHforecast-class
class: GARCH Forecast Class
VaRDurTest
VaR Duration Test
GARCHspec-class
class: GARCH Spec Class
multifilter-methods
function: Univariate GARCH and ARFIMA Multiple Filtering
dmbp
data: Deutschemark/British pound Exchange Rate
ugarchdistribution-methods
function: Univariate GARCH Parameter Distribution via Simulation
ARFIMAforecast-class
class: ARFIMA Forecast Class
ARFIMApath-class
class: ARFIMA Path Simulation Class