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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

23,451

Version

1.4-2

License

GPL-3

Homepage

http://www.unstarched.net

Maintainer

Alexios Ghalanos

Last Published

February 8th, 2020

Functions in rugarch (1.4-2)

Directional Accuracy Test

ARFIMAspec-class

class: ARFIMA Specification Class

Berkowitz Density Forecast Likelihood Ratio Test

ARFIMAsim-class

class: ARFIMA Simulation Class

The Non-Parametric Density Test of Hong and Li

VaR Duration Test

Expected Shortfall Test.

GARCHspec-class

class: GARCH Spec Class

ARFIMAroll-class

class: ARFIMA Rolling Forecast Class

GARCHboot-class

class: GARCH Bootstrap Class

class: GARCH Simulation Class

The GMM Orthogonality Test of Hansen

arfimadistribution-methods

function: ARFIMA Parameter Distribution via Simulation

GARCHdistribution-class

class: GARCH Parameter Distribution Class

ARFIMAmultiforecast-class

class: ARFIMA Multiple Forecast Class

Model Confidence Set Test

Value at Risk Exceedances plot

GARCHtests-class

class: GARCH Tests Class

arfimafilter-methods

function: ARFIMA Filtering

ARFIMAX time series cross validation

GARCHpath-class

class: GARCH Path Simulation Class

arfimapath-methods

function: ARFIMA Path Simulation

Distribution: Generalized Hyperbolic Transformation and Scaling

arfimasim-methods

function: ARFIMA Simulation

multifilter-methods

function: Univariate GARCH and ARFIMA Multiple Filtering

GARCHfilter-class

class: GARCH Filter Class

arfimaroll-methods

function: ARFIMA Rolling Density Forecast and Backtesting

rugarch-package

The rugarch package

data: Deutschemark/British pound Exchange Rate

DateTimeUtilities

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

GARCHroll-class

class: GARCH Roll Class

arfimaspec-methods

function: ARFIMA Specification

multispec-methods

function: Univariate multiple GARCH Specification

Value at Risk Exceedances Test

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

class: GARCH Fit Class

Automatic Model Selection for ARFIMA models

arfimafit-methods

function: ARFIMA Fit

GARCHforecast-class

class: GARCH Forecast Class

data: Standard and Poors 500 Closing Value Log Return

uGARCHdistribution-class

class: Univariate GARCH Parameter Distribution Class

uGARCHfilter-class

class: Univariate GARCH Filter Class

Benchmark: The Benchmark Test Suite

data: Dow Jones 30 Constituents Closing Value Log Return

arfimaforecast-methods

function: ARFIMA Forecasting

uGARCHfit-class

class: Univariate GARCH Fit Class

multifit-methods

function: Univariate GARCH and ARFIMA Multiple Fitting

uGARCHforecast-class

class: Univariate GARCH Forecast Class

class: rGARCH Class

multiforecast-methods

function: Univariate GARCH and ARFIMA Multiple Forecasting

ugarchboot-methods

function: Univariate GARCH Forecast via Bootstrap

uGARCHmultifilter-class

class: Univariate GARCH Multiple Filter Class

uGARCHmultifit-class

class: Univariate GARCH Multiple Fit Class

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

uGARCHboot-class

class: Univariate GARCH Bootstrap Class

uGARCHsim-class

class: Univariate GARCH Simulation Class

ugarchfilter-methods

function: Univariate GARCH Filtering

ugarchfit-methods

function: Univariate GARCH Fitting

uGARCHpath-class

class: Univariate GARCH Path Simulation Class

uGARCHmultiforecast-class

class: Univariate GARCH Multiple Forecast Class

uGARCHroll-class

class: Univariate GARCH Rolling Forecast Class

uGARCHspec-class

class: Univariate GARCH Specification Class

ugarchspec-methods

function: Univariate GARCH Specification

uGARCHmultispec-class

class: Univariate GARCH Multiple Specification Class

Distribution: rugarch distribution functions

ugarchpath-methods

function: Univariate GARCH Path Simulation

ugarchroll-methods

function: Univariate GARCH Rolling Density Forecast and Backtesting

ugarchforecast-methods

function: Univariate GARCH Forecasting

ugarchdistribution-methods

function: Univariate GARCH Parameter Distribution via Simulation

ugarchsim-methods

function: Univariate GARCH Simulation

ARFIMApath-class

class: ARFIMA Path Simulation Class

ARFIMAmultifit-class

class: ARFIMA Multiple Fit Class

ARFIMAmultifilter-class

class: ARFIMA Multiple Filter Class

ARFIMAforecast-class

class: ARFIMA Forecast Class

ARFIMAfilter-class

class: ARFIMA Filter Class

ARFIMAfit-class

class: ARFIMA Fit Class

class: High Level ARFIMA class

ARFIMAdistribution-class

class: ARFIMA Parameter Distribution Class

ARFIMAmultispec-class

class: ARFIMA Multiple Specification Class