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rugarch (version 1.2-6)

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

46,709

Version

1.2-6

License

GPL-3

Maintainer

Alexios Ghalanos

Last Published

July 4th, 2013

Functions in rugarch (1.2-6)

GARCHpath-class

class: GARCH Path Simulation Class
multiforecast-methods

function: Univariate GARCH and ARFIMA Multiple Forecasting
ARFIMAroll-class

class: ARFIMA Rolling Forecast Class
arfimafit-methods

function: ARFIMA Fit
BerkowitzTest

Berkowitz Density Forecast Likelihood Ratio Test
uGARCHfit-class

class: Univariate GARCH Fit Class
arfimasim-methods

function: ARFIMA Simulation
uGARCHpath-class

class: Univariate GARCH Path Simulation Class
uGARCHmultispec-class

class: Univariate GARCH Multiple Specification Class
rgarchdist

Distribution: rugarch distribution functions
GARCHboot-class

class: GARCH Bootstrap Class
uGARCHmultifit-class

class: Univariate GARCH Multiple Fit Class
ARFIMAmultifit-class

class: ARFIMA Multiple Fit Class
uGARCHmultiforecast-class

class: Univariate GARCH Multiple Forecast Class
ARFIMApath-class

class: ARFIMA Path Simulation Class
VaRTest

Value at Risk Exceedances Test
ugarchroll-methods

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

class: GARCH Simulation Class
arfimaspec-methods

function: ARFIMA Specification
ARFIMAdistribution-class

class: ARFIMA Parameter Distribution Class
dji30ret

data: Dow Jones 30 Constituents Closing Value Log Return
rugarch-package

The rugarch package
uGARCHsim-class

class: Univariate GARCH Simulation Class
uGARCHforecast-class

class: Univariate GARCH Forecast Class
uGARCHdistribution-class

class: Univariate GARCH Parameter Distribution Class
ugarchboot-methods

function: Univariate GARCH Forecast via Bootstrap
ARFIMAsim-class

class: ARFIMA Simulation Class
ARFIMAspec-class

class: ARFIMA Specification Class
ESTest

Expected Shortfall Test.
ARFIMAfilter-class

class: ARFIMA Filter Class
uGARCHboot-class

class: Univariate GARCH Bootstrap Class
GARCHdistribution-class

class: GARCH Parameter Distribution Class
GARCHspec-class

class: GARCH Spec Class
GARCHtests-class

class: GARCH Tests Class
ugarchsim-methods

function: Univariate GARCH Simulation
ARFIMAmultifilter-class

class: ARFIMA Multiple Filter Class
DACTest

Directional Accuracy Test
ugarchforecast-methods

function: Univariate GARCH Forecasting
GARCHroll-class

class: GARCH Roll Class
HLTest

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

function: Univariate GARCH and ARFIMA Multiple Fitting
dmbp

data: Deutschemark/British pound Exchange Rate
ugarchbench

Benchmark: The Benchmark Test Suite
GARCHfit-class

class: GARCH Fit Class
GARCHfilter-class

class: GARCH Filter Class
arfimaroll-methods

function: ARFIMA Rolling Density Forecast and Backtesting
rGARCH-class

class: rGARCH Class
ARFIMAfit-class

class: ARFIMA Fit Class
arfimafilter-methods

function: ARFIMA Filtering
multifilter-methods

function: Univariate GARCH and ARFIMA Multiple Filtering
arfimaforecast-methods

function: ARFIMA Forecasting
autoarfima

Automatic Model Selection for ARFIMA models
ugarchdistribution-methods

function: Univariate GARCH Parameter Distribution via Simulation
ugarchpath-methods

function: Univariate GARCH Path Simulation
GARCHforecast-class

class: GARCH Forecast Class
arfimapath-methods

function: ARFIMA Path Simulation
arfimadistribution-methods

function: ARFIMA Parameter Distribution via Simulation
ARFIMA-class

class: High Level ARFIMA class
ARFIMAmultiforecast-class

class: ARFIMA Multiple Forecast Class
ARFIMAforecast-class

class: ARFIMA Forecast Class
ghyptransform

Distribution: Generalized Hyperbolic Transformation and Scaling
VaRloss

Value at Risk loss function of Gonzalez-Rivera, Lee, and Mishra (2004)
VaRDurTest

VaR Duration Test
multispec-methods

function: Univariate multiple GARCH Specification
VaRplot

Value at Risk Exceedances plot
uGARCHroll-class

class: Univariate GARCH Rolling Forecast Class
ARFIMAmultispec-class

class: ARFIMA Multiple Specification Class
sp500ret

data: Standard and Poors 500 Closing Value Log Return
uGARCHmultifilter-class

class: Univariate GARCH Multiple Filter Class
GMMTest

The GMM Orthogonality Test of Hansen
uGARCHfilter-class

class: Univariate GARCH Filter Class
uGARCHspec-class

class: Univariate GARCH Specification Class
ugarchfit-methods

function: Univariate GARCH Fitting
ugarchfilter-methods

function: Univariate GARCH Filtering
ugarchspec-methods

function: Univariate GARCH Specification
DateTimeUtilities

A small set of utilities to work with some time and date classes.