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