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rugarch (version 1.2-7)

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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Version

Install

install.packages('rugarch')

Monthly Downloads

46,709

Version

1.2-7

License

GPL-3

Maintainer

Alexios Ghalanos

Last Published

July 8th, 2013

Functions in rugarch (1.2-7)

arfimafilter-methods

function: ARFIMA Filtering
ARFIMAfit-class

class: ARFIMA Fit Class
autoarfima

Automatic Model Selection for ARFIMA models
uGARCHmultispec-class

class: Univariate GARCH Multiple Specification Class
ugarchroll-methods

function: Univariate GARCH Rolling Density Forecast and Backtesting
dji30ret

data: Dow Jones 30 Constituents Closing Value Log Return
ARFIMAmultispec-class

class: ARFIMA Multiple Specification Class
rugarch-package

The rugarch package
GARCHspec-class

class: GARCH Spec Class
VaRplot

Value at Risk Exceedances plot
GARCHtests-class

class: GARCH Tests Class
ugarchfilter-methods

function: Univariate GARCH Filtering
VaRTest

Value at Risk Exceedances Test
GARCHdistribution-class

class: GARCH Parameter Distribution Class
ARFIMAroll-class

class: ARFIMA Rolling Forecast Class
ARFIMAmultifit-class

class: ARFIMA Multiple Fit Class
VaRloss

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

class: ARFIMA Specification Class
arfimasim-methods

function: ARFIMA Simulation
ugarchpath-methods

function: Univariate GARCH Path Simulation
uGARCHmultifilter-class

class: Univariate GARCH Multiple Filter Class
uGARCHsim-class

class: Univariate GARCH Simulation Class
arfimaroll-methods

function: ARFIMA Rolling Density Forecast and Backtesting
ARFIMA-class

class: High Level ARFIMA class
ugarchbench

Benchmark: The Benchmark Test Suite
GARCHboot-class

class: GARCH Bootstrap Class
BerkowitzTest

Berkowitz Density Forecast Likelihood Ratio Test
ESTest

Expected Shortfall Test.
GARCHpath-class

class: GARCH Path Simulation Class
HLTest

The Non-Parametric Density Test of Hong and Li
VaRDurTest

VaR Duration Test
rGARCH-class

class: rGARCH Class
ugarchforecast-methods

function: Univariate GARCH Forecasting
uGARCHfit-class

class: Univariate GARCH Fit Class
ghyptransform

Distribution: Generalized Hyperbolic Transformation and Scaling
uGARCHdistribution-class

class: Univariate GARCH Parameter Distribution Class
uGARCHmultiforecast-class

class: Univariate GARCH Multiple Forecast Class
arfimadistribution-methods

function: ARFIMA Parameter Distribution via Simulation
ugarchdistribution-methods

function: Univariate GARCH Parameter Distribution via Simulation
ARFIMApath-class

class: ARFIMA Path Simulation Class
rgarchdist

Distribution: rugarch distribution functions
GARCHfit-class

class: GARCH Fit Class
GARCHforecast-class

class: GARCH Forecast Class
multiforecast-methods

function: Univariate GARCH and ARFIMA Multiple Forecasting
GMMTest

The GMM Orthogonality Test of Hansen
uGARCHmultifit-class

class: Univariate GARCH Multiple Fit Class
arfimafit-methods

function: ARFIMA Fit
uGARCHroll-class

class: Univariate GARCH Rolling Forecast Class
uGARCHfilter-class

class: Univariate GARCH Filter Class
ugarchfit-methods

function: Univariate GARCH Fitting
ugarchspec-methods

function: Univariate GARCH Specification
ARFIMAmultiforecast-class

class: ARFIMA Multiple Forecast Class
uGARCHspec-class

class: Univariate GARCH Specification Class
DACTest

Directional Accuracy Test
arfimapath-methods

function: ARFIMA Path Simulation
multifit-methods

function: Univariate GARCH and ARFIMA Multiple Fitting
ARFIMAfilter-class

class: ARFIMA Filter Class
multifilter-methods

function: Univariate GARCH and ARFIMA Multiple Filtering
ugarchboot-methods

function: Univariate GARCH Forecast via Bootstrap
ARFIMAmultifilter-class

class: ARFIMA Multiple Filter Class
DateTimeUtilities

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

class: ARFIMA Simulation Class
GARCHroll-class

class: GARCH Roll Class
arfimaforecast-methods

function: ARFIMA Forecasting
uGARCHforecast-class

class: Univariate GARCH Forecast Class
ugarchsim-methods

function: Univariate GARCH Simulation
dmbp

data: Deutschemark/British pound Exchange Rate
arfimaspec-methods

function: ARFIMA Specification
ARFIMAforecast-class

class: ARFIMA Forecast Class
uGARCHboot-class

class: Univariate GARCH Bootstrap Class
ARFIMAdistribution-class

class: ARFIMA Parameter Distribution Class
GARCHsim-class

class: GARCH Simulation Class
GARCHfilter-class

class: GARCH Filter Class
sp500ret

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

class: Univariate GARCH Path Simulation Class
multispec-methods

function: Univariate multiple GARCH Specification