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rugarch (version 1.0-2)
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
1.0-2
License
GPL-3
Maintainer
Alexios Ghalanos
Last Published
September 22nd, 2011
Functions in rugarch (1.0-2)
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ARFIMAforecast-class
class: ARFIMA Forecast Class
uGARCHpath-class
class: Univariate GARCH Path Simulation Class
GARCHfilter-class
class: GARCH Filter Class
rugarch-package
The rugarch package
ARFIMAspec-class
class: ARFIMA Specification Class
ARFIMAsim-class
class: ARFIMA Simulation Class
multiforecast-methods
function: Univariate GARCH and ARFIMA Multiple Forecasting
ARFIMAfilter-class
class: ARFIMA Filter Class
ARFIMAfit-class
class: ARFIMA Fit Class
GARCHfit-class
class: GARCH Fit Class
arfimafit-methods
function: ARFIMA Fit
uGARCHboot-class
class: Univariate GARCH Bootstrap Class
uGARCHforecast-class
class: Univariate GARCH Forecast Class
arfimaforecast-methods
function: ARFIMA Forecasting
uGARCHfit-class
class: Univariate GARCH Fit Class
ugarchbench
Benchmark: The Benchmark Test Suite
GARCHroll-class
class: GARCH Roll Class
ARFIMAroll-class
class: ARFIMA Rolling Forecast Class
arfimaroll-methods
function: ARFIMA Rolling Density Forecast and Backtesting
uGARCHmultifilter-class
class: Univariate GARCH Multiple Filter Class
ARFIMA-class
class: High Level ARFIMA class
multifilter-methods
function: Univariate GARCH and ARFIMA Multiple Filtering
uGARCHdistribution-class
class: Univariate GARCH Parameter Distribution Class
multifit-methods
function: Univariate GARCH and ARFIMA Multiple Fitting
GARCHdistribution-class
class: GARCH Parameter Distribution Class
ugarchsim-methods
function: Univariate GARCH Simulation
ARFIMAmultispec-class
class: ARFIMA Multiple Specification Class
uGARCHfilter-class
class: Univariate GARCH Filter Class
arfimasim-methods
function: ARFIMA Simulation
arfimaspec-methods
function: ARFIMA Specification
GARCHspec-class
class: GARCH Spec Class
arfimadistribution-methods
function: ARFIMA Parameter Distribution via Simulation
uGARCHsim-class
class: Univariate GARCH Simulation Class
arfimafilter-methods
function: ARFIMA Filtering
uGARCHmultifit-class
class: Univariate GARCH Multiple Fit Class
ugarchdistribution-methods
function: Univariate GARCH Parameter Distribution via Simulation
ugarchroll-methods
function: Univariate GARCH Rolling Density Forecast and Backtesting
rGARCH-class
class: rGARCH Class
uGARCHroll-class
class: Univariate GARCH Rolling Forecast Class
arfimapath-methods
function: ARFIMA Path Simulation
GARCHboot-class
class: GARCH Bootstrap Class
ugarchfilter-methods
function: Univariate GARCH Filtering
WeekDayDummy-methods
function: Create Dummy Day-of-Week Variable
ARFIMAdistribution-class
class: ARFIMA Parameter Distribution Class
uGARCHmultispec-class
class: Univariate GARCH Multiple Specification Class
GARCHforecast-class
class: GARCH Forecast Class
ugarchboot-methods
function: Univariate GARCH Forecast via Bootstrap
dji30ret
data: Dow Jones 30 Constituents Closing Value Log Return
rgarchdist
Distribution: rugarch distribution functions
uGARCHmultiforecast-class
class: Univariate GARCH Multiple Forecast Class
uGARCHspec-class
class: Univariate GARCH Specification Class
ugarchspec-methods
function: Univariate GARCH Specification
ARFIMApath-class
class: ARFIMA Path Simulation Class
ARFIMAmultifilter-class
class: ARFIMA Multiple Filter Class
dmbp
data: Deutschemark/British pound Exchange Rate
ForwardDates-methods
function: Generate Future Dates
sp500ret
data: Standard and Poors 500 Closing Value Log Return
ghyptransform
Distribution: Generalized Hyperbolic Transformation and Scaling
ugarchpath-methods
function: Univariate GARCH Path Simulation
DACTest
Directional Accuracy Test
GARCHtests-class
class: GARCH Tests Class
ARFIMAmultifit-class
class: ARFIMA Multiple Fit Class
ugarchfit-methods
function: Univariate GARCH Fitting
multispec-methods
function: Univariate multiple GARCH Specification
ARFIMAmultiforecast-class
class: ARFIMA Multiple Forecast Class
BerkowitzLR
Berkowitz Density Forecast Likelihood Ratio Test
GARCHpath-class
class: GARCH Path Simulation Class
GARCHsim-class
class: GARCH Simulation Class
ugarchforecast-methods
function: Univariate GARCH Forecasting