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rugarch

The rugarch package is the premier open source software for univariate GARCH modelling. It is written in R using S4 methods and classes with a significant part of the code in C and C++ for speed. It contains a number of GARCH models beyond the vanilla version including IGARCH, EGARCH, GJR, APARCH, FGARCH, Component-GARCH, multiplicative Component-GARCH for high frequency returns and the realized-GARCH model, as well as a very large number of conditional distributions including (Skew)-Normal, (Skew)-GED, (Skew)-Student (Fernandez/Steel), (Skew)-Student (GH), Normal Inverse Gaussian (NIG), Generalized Hyperbolic (GH) and Johnson’s SU (JSU). The conditional mean equation includes ARFIMA and ARCH-in-mean, and is estimated in a joint step with the GARCH model. Both the conditional mean and variance parts allow for external regressors to be used. A comprehensive set of methods to work with these models are implemented, and include estimation, filtering, forecasting, simulation, inference tests and plots, with additional functionality in the form of the GARCH bootstrap, parameter uncertainty via the GARCH distribution function, misspecification tests (Hansen’s GMM and Hong&Li Portmanteau type test), predictive accuracy tests (Pesaran&Timmermann, Anatolyev&Gerko), and Value at Risk tests (VaR Exceedances and Expected Shortfall tests).

The stable version is on CRAN. The development version is on bitbucket.

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Version

Install

install.packages('rugarch')

Monthly Downloads

46,709

Version

1.3-6

License

GPL-3

Homepage

http://www.unstarched.net

Maintainer

Alexios Ghalanos

Last Published

August 16th, 2015

Functions in rugarch (1.3-6)

ARFIMAroll-class

class: ARFIMA Rolling Forecast Class

class: GARCH Fit Class

Automatic Model Selection for ARFIMA models

ARFIMAforecast-class

class: ARFIMA Forecast Class

uGARCHfilter-class

class: Univariate GARCH Filter Class

ARFIMAmultiforecast-class

class: ARFIMA Multiple Forecast Class

class: High Level ARFIMA class

GARCHspec-class

class: GARCH Spec Class

The GMM Orthogonality Test of Hansen

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

uGARCHmultispec-class

class: Univariate GARCH Multiple Specification Class

ARFIMAX time series cross validation

uGARCHdistribution-class

class: Univariate GARCH Parameter Distribution Class

arfimaspec-methods

function: ARFIMA Specification

uGARCHmultifilter-class

class: Univariate GARCH Multiple Filter Class

arfimaroll-methods

function: ARFIMA Rolling Density Forecast and Backtesting

GARCHboot-class

class: GARCH Bootstrap Class

arfimafit-methods

function: ARFIMA Fit

arfimapath-methods

function: ARFIMA Path Simulation

ugarchdistribution-methods

function: Univariate GARCH Parameter Distribution via Simulation

Distribution: rugarch distribution functions

Expected Shortfall Test.

arfimadistribution-methods

function: ARFIMA Parameter Distribution via Simulation

ugarchfilter-methods

function: Univariate GARCH Filtering

ugarchboot-methods

function: Univariate GARCH Forecast via Bootstrap

arfimasim-methods

function: ARFIMA Simulation

multispec-methods

function: Univariate multiple GARCH Specification

uGARCHforecast-class

class: Univariate GARCH Forecast Class

GARCHtests-class

class: GARCH Tests Class

Value at Risk Exceedances Test

uGARCHboot-class

class: Univariate GARCH Bootstrap Class

ARFIMAmultifilter-class

class: ARFIMA Multiple Filter Class

ARFIMAspec-class

class: ARFIMA Specification Class

arfimaforecast-methods

function: ARFIMA Forecasting

uGARCHroll-class

class: Univariate GARCH Rolling Forecast Class

uGARCHpath-class

class: Univariate GARCH Path Simulation Class

ugarchroll-methods

function: Univariate GARCH Rolling Density Forecast and Backtesting

class: rGARCH Class

multiforecast-methods

function: Univariate GARCH and ARFIMA Multiple Forecasting

data: Standard and Poors 500 Closing Value Log Return

uGARCHspec-class

class: Univariate GARCH Specification Class

ARFIMAfit-class

class: ARFIMA Fit Class

Model Confidence Set Test

uGARCHfit-class

class: Univariate GARCH Fit Class

Benchmark: The Benchmark Test Suite

multifit-methods

function: Univariate GARCH and ARFIMA Multiple Fitting

ARFIMAmultifit-class

class: ARFIMA Multiple Fit Class

DateTimeUtilities

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

Berkowitz Density Forecast Likelihood Ratio Test

multifilter-methods

function: Univariate GARCH and ARFIMA Multiple Filtering

Directional Accuracy Test

ARFIMApath-class

class: ARFIMA Path Simulation Class

GARCHfilter-class

class: GARCH Filter Class

ARFIMAfilter-class

class: ARFIMA Filter Class

GARCHforecast-class

class: GARCH Forecast Class

The Non-Parametric Density Test of Hong and Li

uGARCHmultiforecast-class

class: Univariate GARCH Multiple Forecast Class

Value at Risk Exceedances plot

ugarchspec-methods

function: Univariate GARCH Specification

rugarch-package

The rugarch package

ARFIMAmultispec-class

class: ARFIMA Multiple Specification Class

GARCHdistribution-class

class: GARCH Parameter Distribution Class

GARCHroll-class

class: GARCH Roll Class

GARCHpath-class

class: GARCH Path Simulation Class

data: Dow Jones 30 Constituents Closing Value Log Return

ugarchsim-methods

function: Univariate GARCH Simulation

Distribution: Generalized Hyperbolic Transformation and Scaling

data: Deutschemark/British pound Exchange Rate

class: GARCH Simulation Class

ugarchforecast-methods

function: Univariate GARCH Forecasting

arfimafilter-methods

function: ARFIMA Filtering

uGARCHmultifit-class

class: Univariate GARCH Multiple Fit Class

ugarchpath-methods

function: Univariate GARCH Path Simulation

ugarchfit-methods

function: Univariate GARCH Fitting

VaR Duration Test

data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility

ARFIMAsim-class

class: ARFIMA Simulation Class

uGARCHsim-class

class: Univariate GARCH Simulation Class

ARFIMAdistribution-class

class: ARFIMA Parameter Distribution Class