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rugarch (version 1.0-7)
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
12,560
Version
1.0-7
License
GPL-3
Maintainer
Alexios Ghalanos
Last Published
December 24th, 2011
Functions in rugarch (1.0-7)
Search functions
BerkowitzLR
Berkowitz Density Forecast Likelihood Ratio Test
GARCHsim-class
class: GARCH Simulation Class
ugarchboot-methods
function: Univariate GARCH Forecast via Bootstrap
uGARCHmultifit-class
class: Univariate GARCH Multiple Fit Class
multiforecast-methods
function: Univariate GARCH and ARFIMA Multiple Forecasting
uGARCHmultiforecast-class
class: Univariate GARCH Multiple Forecast Class
ARFIMAdistribution-class
class: ARFIMA Parameter Distribution Class
ARFIMAfilter-class
class: ARFIMA Filter Class
GARCHforecast-class
class: GARCH Forecast Class
uGARCHboot-class
class: Univariate GARCH Bootstrap Class
ugarchfilter-methods
function: Univariate GARCH Filtering
DACTest
Directional Accuracy Test
uGARCHspec-class
class: Univariate GARCH Specification Class
uGARCHfit-class
class: Univariate GARCH Fit Class
ugarchroll-methods
function: Univariate GARCH Rolling Density Forecast and Backtesting
ARFIMAforecast-class
class: ARFIMA Forecast Class
GARCHpath-class
class: GARCH Path Simulation Class
arfimapath-methods
function: ARFIMA Path Simulation
uGARCHforecast-class
class: Univariate GARCH Forecast Class
GARCHfilter-class
class: GARCH Filter Class
GARCHspec-class
class: GARCH Spec Class
ARFIMAspec-class
class: ARFIMA Specification Class
uGARCHpath-class
class: Univariate GARCH Path Simulation Class
GARCHdistribution-class
class: GARCH Parameter Distribution Class
uGARCHdistribution-class
class: Univariate GARCH Parameter Distribution Class
ARFIMAmultifilter-class
class: ARFIMA Multiple Filter Class
ghyptransform
Distribution: Generalized Hyperbolic Transformation and Scaling
GARCHboot-class
class: GARCH Bootstrap Class
ARFIMAmultispec-class
class: ARFIMA Multiple Specification Class
GARCHfit-class
class: GARCH Fit Class
dmbp
data: Deutschemark/British pound Exchange Rate
ugarchforecast-methods
function: Univariate GARCH Forecasting
ARFIMAfit-class
class: ARFIMA Fit Class
arfimasim-methods
function: ARFIMA Simulation
rugarch-package
The rugarch package
arfimaroll-methods
function: ARFIMA Rolling Density Forecast and Backtesting
multifilter-methods
function: Univariate GARCH and ARFIMA Multiple Filtering
sp500ret
data: Standard and Poors 500 Closing Value Log Return
ARFIMAsim-class
class: ARFIMA Simulation Class
arfimaforecast-methods
function: ARFIMA Forecasting
uGARCHroll-class
class: Univariate GARCH Rolling Forecast Class
ugarchsim-methods
function: Univariate GARCH Simulation
ARFIMAroll-class
class: ARFIMA Rolling Forecast Class
GARCHtests-class
class: GARCH Tests Class
arfimaspec-methods
function: ARFIMA Specification
uGARCHfilter-class
class: Univariate GARCH Filter Class
GARCHroll-class
class: GARCH Roll Class
WeekDayDummy-methods
function: Create Dummy Day-of-Week Variable
ugarchspec-methods
function: Univariate GARCH Specification
ARFIMAmultifit-class
class: ARFIMA Multiple Fit Class
ARFIMA-class
class: High Level ARFIMA class
arfimadistribution-methods
function: ARFIMA Parameter Distribution via Simulation
ARFIMApath-class
class: ARFIMA Path Simulation Class
uGARCHmultifilter-class
class: Univariate GARCH Multiple Filter Class
multispec-methods
function: Univariate multiple GARCH Specification
ugarchfit-methods
function: Univariate GARCH Fitting
ForwardDates-methods
function: Generate Future Dates
rGARCH-class
class: rGARCH Class
multifit-methods
function: Univariate GARCH and ARFIMA Multiple Fitting
rgarchdist
Distribution: rugarch distribution functions
uGARCHmultispec-class
class: Univariate GARCH Multiple Specification Class
ugarchbench
Benchmark: The Benchmark Test Suite
dji30ret
data: Dow Jones 30 Constituents Closing Value Log Return
arfimafilter-methods
function: ARFIMA Filtering
ARFIMAmultiforecast-class
class: ARFIMA Multiple Forecast Class
ugarchpath-methods
function: Univariate GARCH Path Simulation
arfimafit-methods
function: ARFIMA Fit
ugarchdistribution-methods
function: Univariate GARCH Parameter Distribution via Simulation
uGARCHsim-class
class: Univariate GARCH Simulation Class