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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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Install
install.packages('rugarch')
Monthly Downloads
26,323
Version
1.0-16
License
GPL-3
Maintainer
Alexios Ghalanos
Last Published
January 13th, 2013
Functions in rugarch (1.0-16)
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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