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rugarch (version 1.3-3)
Univariate GARCH models
Description
ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.
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Install
install.packages('rugarch')
Monthly Downloads
12,560
Version
1.3-3
License
GPL-3
Homepage
http://www.unstarched.net
Maintainer
Alexios Ghalanos
Last Published
May 26th, 2014
Functions in rugarch (1.3-3)
Search functions
GARCHspec-class
class: GARCH Spec Class
VaRplot
Value at Risk Exceedances plot
GARCHpath-class
class: GARCH Path Simulation Class
ARFIMAdistribution-class
class: ARFIMA Parameter Distribution Class
arfimaforecast-methods
function: ARFIMA Forecasting
ARFIMAmultifilter-class
class: ARFIMA Multiple Filter Class
ARFIMAmultispec-class
class: ARFIMA Multiple Specification Class
ARFIMAforecast-class
class: ARFIMA Forecast Class
arfimafit-methods
function: ARFIMA Fit
GARCHfit-class
class: GARCH Fit Class
VaRDurTest
VaR Duration Test
arfimadistribution-methods
function: ARFIMA Parameter Distribution via Simulation
BerkowitzTest
Berkowitz Density Forecast Likelihood Ratio Test
arfimaroll-methods
function: ARFIMA Rolling Density Forecast and Backtesting
ghyptransform
Distribution: Generalized Hyperbolic Transformation and Scaling
dji30ret
data: Dow Jones 30 Constituents Closing Value Log Return
spyreal
data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility
multiforecast-methods
function: Univariate GARCH and ARFIMA Multiple Forecasting
sp500ret
data: Standard and Poors 500 Closing Value Log Return
multifit-methods
function: Univariate GARCH and ARFIMA Multiple Fitting
GARCHforecast-class
class: GARCH Forecast Class
VaRloss
Value at Risk loss function of Gonzalez-Rivera, Lee, and Mishra (2004)
multispec-methods
function: Univariate multiple GARCH Specification
dmbp
data: Deutschemark/British pound Exchange Rate
uGARCHmultifilter-class
class: Univariate GARCH Multiple Filter Class
uGARCHroll-class
class: Univariate GARCH Rolling Forecast Class
uGARCHdistribution-class
class: Univariate GARCH Parameter Distribution Class
uGARCHsim-class
class: Univariate GARCH Simulation Class
ugarchroll-methods
function: Univariate GARCH Rolling Density Forecast and Backtesting
rGARCH-class
class: rGARCH Class
uGARCHmultiforecast-class
class: Univariate GARCH Multiple Forecast Class
GARCHfilter-class
class: GARCH Filter Class
ugarchboot-methods
function: Univariate GARCH Forecast via Bootstrap
autoarfima
Automatic Model Selection for ARFIMA models
arfimapath-methods
function: ARFIMA Path Simulation
uGARCHpath-class
class: Univariate GARCH Path Simulation Class
ugarchdistribution-methods
function: Univariate GARCH Parameter Distribution via Simulation
ugarchpath-methods
function: Univariate GARCH Path Simulation
uGARCHfilter-class
class: Univariate GARCH Filter Class
uGARCHfit-class
class: Univariate GARCH Fit Class
ugarchspec-methods
function: Univariate GARCH Specification
uGARCHmultispec-class
class: Univariate GARCH Multiple Specification Class
ugarchforecast-methods
function: Univariate GARCH Forecasting
ugarchbench
Benchmark: The Benchmark Test Suite
uGARCHspec-class
class: Univariate GARCH Specification Class
ARFIMAfit-class
class: ARFIMA Fit Class
GARCHboot-class
class: GARCH Bootstrap Class
GARCHtests-class
class: GARCH Tests Class
VaRTest
Value at Risk Exceedances Test
ARFIMAmultifit-class
class: ARFIMA Multiple Fit Class
ARFIMAroll-class
class: ARFIMA Rolling Forecast Class
ARFIMAmultiforecast-class
class: ARFIMA Multiple Forecast Class
GMMTest
The GMM Orthogonality Test of Hansen
arfimasim-methods
function: ARFIMA Simulation
rgarchdist
Distribution: rugarch distribution functions
uGARCHmultifit-class
class: Univariate GARCH Multiple Fit Class
ARFIMA-class
class: High Level ARFIMA class
HLTest
The Non-Parametric Density Test of Hong and Li
arfimafilter-methods
function: ARFIMA Filtering
uGARCHforecast-class
class: Univariate GARCH Forecast Class
ugarchfilter-methods
function: Univariate GARCH Filtering
uGARCHboot-class
class: Univariate GARCH Bootstrap Class
ARFIMAfilter-class
class: ARFIMA Filter Class
ARFIMAsim-class
class: ARFIMA Simulation Class
GARCHsim-class
class: GARCH Simulation Class
multifilter-methods
function: Univariate GARCH and ARFIMA Multiple Filtering
rugarch-package
The rugarch package
DACTest
Directional Accuracy Test
GARCHdistribution-class
class: GARCH Parameter Distribution Class
ugarchsim-methods
function: Univariate GARCH Simulation
GARCHroll-class
class: GARCH Roll Class
ugarchfit-methods
function: Univariate GARCH Fitting
DateTimeUtilities
A small set of utilities to work with some time and date classes.
arfimaspec-methods
function: ARFIMA Specification
ARFIMAspec-class
class: ARFIMA Specification Class
ARFIMApath-class
class: ARFIMA Path Simulation Class
ESTest
Expected Shortfall Test.