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rugarch (version 1.0-16)

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

37,595

Version

1.0-16

License

GPL-3

Maintainer

Alexios Ghalanos

Last Published

January 13th, 2013

Functions in rugarch (1.0-16)

ARFIMAmultispec-class

class: ARFIMA Multiple Specification Class
GARCHfit-class

class: GARCH Fit Class
uGARCHdistribution-class

class: Univariate GARCH Parameter Distribution Class
arfimasim-methods

function: ARFIMA Simulation
arfimafit-methods

function: ARFIMA Fit
uGARCHmultifit-class

class: Univariate GARCH Multiple Fit Class
GARCHpath-class

class: GARCH Path Simulation Class
BerkowitzTest

Berkowitz Density Forecast Likelihood Ratio Test
DACTest

Directional Accuracy Test
multifit-methods

function: Univariate GARCH and ARFIMA Multiple Fitting
uGARCHboot-class

class: Univariate GARCH Bootstrap Class
ARFIMAfit-class

class: ARFIMA Fit Class
ARFIMApath-class

class: ARFIMA Path Simulation Class
multispec-methods

function: Univariate multiple GARCH Specification
ARFIMAmultifit-class

class: ARFIMA Multiple Fit Class
GARCHfilter-class

class: GARCH Filter Class
arfimadistribution-methods

function: ARFIMA Parameter Distribution via Simulation
arfimapath-methods

function: ARFIMA Path Simulation
GARCHtests-class

class: GARCH Tests Class
GARCHsim-class

class: GARCH Simulation Class
ARFIMAmultiforecast-class

class: ARFIMA Multiple Forecast Class
multiforecast-methods

function: Univariate GARCH and ARFIMA Multiple Forecasting
ghyptransform

Distribution: Generalized Hyperbolic Transformation and Scaling
arfimaspec-methods

function: ARFIMA Specification
multifilter-methods

function: Univariate GARCH and ARFIMA Multiple Filtering
uGARCHsim-class

class: Univariate GARCH Simulation Class
VaRDurTest

VaR Duration Test
uGARCHforecast-class

class: Univariate GARCH Forecast Class
rugarch-package

The rugarch package
ARFIMA-class

class: High Level ARFIMA class
ugarchfit-methods

function: Univariate GARCH Fitting
arfimafilter-methods

function: ARFIMA Filtering
ugarchdistribution-methods

function: Univariate GARCH Parameter Distribution via Simulation
GMMTest

The GMM Orthogonality Test of Hansen
uGARCHfit-class

class: Univariate GARCH Fit Class
ugarchroll-methods

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

class: Univariate GARCH Multiple Specification Class
ugarchforecast-methods

function: Univariate GARCH Forecasting
arfimaroll-methods

function: ARFIMA Rolling Density Forecast and Backtesting
ugarchboot-methods

function: Univariate GARCH Forecast via Bootstrap
uGARCHmultiforecast-class

class: Univariate GARCH Multiple Forecast Class
ugarchpath-methods

function: Univariate GARCH Path Simulation
ARFIMAforecast-class

class: ARFIMA Forecast Class
dji30ret

data: Dow Jones 30 Constituents Closing Value Log Return
HLTest

The Non-Parametric Density Test of Hong and Li
ugarchfilter-methods

function: Univariate GARCH Filtering
rgarchdist

Distribution: rugarch distribution functions
ARFIMAfilter-class

class: ARFIMA Filter Class
uGARCHpath-class

class: Univariate GARCH Path Simulation Class
GARCHforecast-class

class: GARCH Forecast Class
ARFIMAroll-class

class: ARFIMA Rolling Forecast Class
sp500ret

data: Standard and Poors 500 Closing Value Log Return
ugarchbench

Benchmark: The Benchmark Test Suite
ugarchsim-methods

function: Univariate GARCH Simulation
GARCHboot-class

class: GARCH Bootstrap Class
uGARCHspec-class

class: Univariate GARCH Specification Class
uGARCHfilter-class

class: Univariate GARCH Filter Class
GARCHdistribution-class

class: GARCH Parameter Distribution Class
ugarchspec-methods

function: Univariate GARCH Specification
uGARCHmultifilter-class

class: Univariate GARCH Multiple Filter Class
uGARCHroll-class

class: Univariate GARCH Rolling Forecast Class
GARCHspec-class

class: GARCH Spec Class
VaRTest

Value at Risk Exceedances Test
autoarfima

Automatic Model Selection for ARFIMA models
rGARCH-class

class: rGARCH Class
ESTest

Expected Shortfall Test.
ARFIMAspec-class

class: ARFIMA Specification Class
ARFIMAmultifilter-class

class: ARFIMA Multiple Filter Class
ARFIMAsim-class

class: ARFIMA Simulation Class
WeekDayDummy-methods

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

class: GARCH Roll Class
arfimaforecast-methods

function: ARFIMA Forecasting
ARFIMAdistribution-class

class: ARFIMA Parameter Distribution Class
ForwardDates-methods

function: Generate Future Dates
dmbp

data: Deutschemark/British pound Exchange Rate