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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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Install
install.packages('rugarch')
Monthly Downloads
26,323
Version
1.2-6
License
GPL-3
Maintainer
Alexios Ghalanos
Last Published
July 4th, 2013
Functions in rugarch (1.2-6)
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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.