rmgarch: Multivariate GARCH Models

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

Install the latest version of this package by entering the following in R:
install.packages("rmgarch")
AuthorAlexios Ghalanos <alexios@4dscape.com>
Date of publication2015-12-28 08:51:15
MaintainerAlexios Ghalanos <alexios@4dscape.com>
LicenseGPL-3
Version1.3-0
http://www.unstarched.net
https://bitbucket.org/alexiosg

View on CRAN

Man pages

cGARCHfilter-class: class: Copula Filter Class

cgarchfilter-methods: function: Copula-GARCH Filter

cGARCHfit-class: class: Copula Fit Class

cgarchfit-methods: function: Copula-GARCH Fit

cGARCHsim-class: class: Copula Simulation Class

cgarchsim-methods: function: Copula-GARCH Simulation

cGARCHspec-class: class: Copula Specification Class

cgarchspec-methods: function: Copula-GARCH Specification

cordist: A Correlation Distance Measure

DCCfilter-class: class: DCC Filter Class

dccfilter-methods: function: DCC-GARCH Filter

DCCfit-class: class: DCC Fit Class

dccfit-methods: function: DCC-GARCH Fit

DCCforecast-class: class: DCC Forecast Class

dccforecast-methods: function: DCC-GARCH Forecast

DCCroll-class: class: DCC Roll Class

dccroll-methods: function: DCC-GARCH Rolling Forecast

DCCsim-class: class: DCC Forecast Class

dccsim-methods: function: DCC-GARCH Simulation

DCCspec-class: class: DCC Specification Class

dccspec-methods: function: DCC-GARCH Specification

DCCtest: Engle and Sheppard Test of Dynamic Correlation

dji30retw: data: Dow Jones 30 Constituents Closing Value log Weekly...

fastica: Fast Fixed Point ICA

fMoments-class: Class '"fMoments"'

fmoments-methods: Moment Based Forecast Generation

fScenario-class: Class '"fScenario"'

fscenario-methods: Scenario Generation

goGARCHfft-class: Class: GO-GARCH portfolio density

goGARCHfilter-class: class: GO-GARCH Filter Class

gogarchfilter-methods: function: GO-GARCH Filter

goGARCHfit-class: class: GO-GARCH Fit Class

gogarchfit-methods: function: GO-GARCH Filter

goGARCHforecast-class: class: GO-GARCH Forecast Class

gogarchforecast-methods: function: GO-GARCH Forecast

goGARCHroll-class: class: GO-GARCH Roll Class

gogarchroll-methods: function: GO-GARCH Rolling Estimation

goGARCHsim-class: class: GO-GARCH Simultion Class

gogarchsim-methods: function: GO-GARCH Simulation

goGARCHspec-class: class: GO-GARCH Specification Class

gogarchspec-methods: function: GO-GARCH Specification

goload-methods: Load Scenario from File

last-methods: First and Last methods for accessing objects

mGARCHfilter-class: Class: Multivariate GARCH Filter Class

mGARCHfit-class: Class: Multivariate GARCH Fit Class

mGARCHforecast-class: Class: Multivariate GARCH Forecast Class

mGARCHroll-class: Class: Multivariate GARCH Roll Class

mGARCHsim-class: Class: Multivariate GARCH Simulation Class

mGARCHspec-class: Class: Multivariate GARCH Specification

radical: The Robust Accurate, Direct ICA aLgorithm (RADICAL).

rmgarch-package: The rmgarch package

varxfit: VARX Fit/Filter/Forecast/Simulation Functions

wmargin: Weighted Distribution Margin

Functions

as.matrix,goGARCHfilter-method Man page
as.matrix,goGARCHfit-method Man page
as.matrix,goGARCHforecast-method Man page
as.matrix,goGARCHsim-method Man page
betacokurt Man page
betacokurt,goGARCHfilter-method Man page
betacokurt,goGARCHfit-method Man page
betacokurt,goGARCHforecast-method Man page
betacoskew Man page
betacoskew,goGARCHfilter-method Man page
betacoskew,goGARCHfit-method Man page
betacoskew,goGARCHforecast-method Man page
betacovar Man page
betacovar,goGARCHfilter-method Man page
betacovar,goGARCHfit-method Man page
betacovar,goGARCHforecast-method Man page
cgarchfilter Man page
cgarchfilter,ANY-method Man page
cgarchfilter,cGARCHspec-method Man page
cGARCHfilter-class Man page
cgarchfit Man page
cgarchfit,ANY-method Man page
cgarchfit,cGARCHspec-method Man page
cGARCHfit-class Man page
cgarchsim Man page
cgarchsim,ANY-method Man page
cgarchsim,cGARCHfit-method Man page
cGARCHsim-class Man page
cgarchspec Man page
cgarchspec,ANY-method Man page
cGARCHspec-class Man page
cgarchspec,uGARCHmultispec-method Man page
coef,cGARCHfilter-method Man page
coef,cGARCHfit-method Man page
coef,DCCfilter-method Man page
coef,DCCfit-method Man page
coef,DCCroll-method Man page
coef,goGARCHfilter-method Man page
coef,goGARCHfit-method Man page
coef,goGARCHforecast-method Man page
coef,goGARCHroll-method Man page
convolution Man page
convolution,goGARCHfilter-method Man page
convolution,goGARCHfit-method Man page
convolution,goGARCHforecast-method Man page
convolution,goGARCHroll-method Man page
convolution,goGARCHsim-method Man page
cordist Man page
dccfilter Man page
dccfilter,ANY-method Man page
DCCfilter-class Man page
dccfilter,DCCspec-method Man page
dccfit Man page
dccfit,ANY-method Man page
DCCfit-class Man page
dccfit,DCCspec-method Man page
dccforecast Man page
dccforecast,ANY-method Man page
DCCforecast-class Man page
dccforecast,DCCfit-method Man page
dccroll Man page
dccroll,ANY-method Man page
DCCroll-class Man page
dccroll,DCCspec-method Man page
dccsim Man page
dccsim,ANY-method Man page
DCCsim-class Man page
dccsim,DCCfit-method Man page
dccsim,DCCspec-method Man page
dccspec Man page
dccspec,ANY-method Man page
DCCspec-class Man page
dccspec,uGARCHmultispec-method Man page
DCCtest Man page
dfft Man page
dfft,goGARCHfft-method Man page
dji30retw Man page
fastica Man page
first Man page
first,ANY-method Man page
first,array-method Man page
first-methods Man page
fitted,cGARCHfilter-method Man page
fitted,cGARCHfit-method Man page
fitted,cGARCHsim-method Man page
fitted,DCCfilter-method Man page
fitted,DCCfit-method Man page
fitted,DCCforecast-method Man page
fitted,DCCroll-method Man page
fitted,DCCsim-method Man page
fitted,fMoments-method Man page
fitted,fScenario-method Man page
fitted,goGARCHfilter-method Man page
fitted,goGARCHfit-method Man page
fitted,goGARCHforecast-method Man page
fitted,goGARCHroll-method Man page
fmoments Man page
fmoments,ANY-method Man page
fMoments-class Man page
fmoments-methods Man page
fscenario Man page
fscenario,ANY-method Man page
fScenario-class Man page
fscenario-methods Man page
goGARCHfft-class Man page
gogarchfilter Man page
gogarchfilter,ANY-method Man page
goGARCHfilter-class Man page
gogarchfilter,goGARCHfit-method Man page
gogarchfit Man page
gogarchfit,ANY-method Man page
goGARCHfit-class Man page
gogarchfit,goGARCHspec-method Man page
gogarchforecast Man page
gogarchforecast,ANY-method Man page
goGARCHforecast-class Man page
gogarchforecast,goGARCHfit-method Man page
gogarchforecast-methods Man page
gogarchroll Man page
gogarchroll,ANY-method Man page
goGARCHroll-class Man page
gogarchroll,goGARCHspec-method Man page
gogarchsim Man page
gogarchsim,ANY-method Man page
goGARCHsim-class Man page
gogarchsim,goGARCHfit-method Man page
gogarchspec Man page
gogarchspec,ANY-method Man page
goGARCHspec-class Man page
gogarchspec-methods Man page
goget Man page
goget,ANY-method Man page
goget,fScenario-method Man page
goload Man page
goload,ANY-method Man page
goload,fMoments-method Man page
goload,fScenario-method Man page
goload-methods Man page
gportmoments Man page
gportmoments,goGARCHfilter-method Man page
gportmoments,goGARCHfit-method Man page
gportmoments,goGARCHforecast-method Man page
gportmoments,goGARCHroll-method Man page
gportmoments,goGARCHsim-method Man page
infocriteria,DCCfit-method Man page
last Man page
last,ANY-method Man page
last,array-method Man page
last-methods Man page
likelihood,cGARCHfilter-method Man page
likelihood,cGARCHfit-method Man page
likelihood,DCCfilter-method Man page
likelihood,DCCfit-method Man page
likelihood,DCCroll-method Man page
likelihood,goGARCHfilter-method Man page
likelihood,goGARCHfit-method Man page
mGARCHfilter-class Man page
mGARCHfit-class Man page
mGARCHforecast-class Man page
mGARCHroll-class Man page
mGARCHsim-class Man page
mGARCHspec-class Man page
nisurface Man page
nisurface,DCCfilter-method Man page
nisurface,DCCfit-method Man page
nisurface,goGARCHfilter-method Man page
nisurface,goGARCHfit-method Man page
nportmoments Man page
nportmoments,goGARCHfft-method Man page
pfft Man page
pfft,goGARCHfft-method Man page
plot,DCCfilter,missing-method Man page
plot,DCCfit,missing-method Man page
plot,DCCforecast,missing-method Man page
plot,DCCroll,missing-method Man page
qfft Man page
qfft,goGARCHfft-method Man page
radical Man page
rcokurt Man page
rcokurt,fMoments-method Man page
rcokurt,goGARCHfilter-method Man page
rcokurt,goGARCHfit-method Man page
rcokurt,goGARCHforecast-method Man page
rcokurt,goGARCHroll-method Man page
rcokurt,goGARCHsim-method Man page
rcor Man page
rcor,cGARCHfilter-method Man page
rcor,cGARCHfit-method Man page
rcor,cGARCHsim-method Man page
rcor,DCCfilter-method Man page
rcor,DCCfit-method Man page
rcor,DCCforecast-method Man page
rcor,DCCroll-method Man page
rcor,DCCsim-method Man page
rcor,goGARCHfilter-method Man page
rcor,goGARCHfit-method Man page
rcor,goGARCHforecast-method Man page
rcor,goGARCHroll-method Man page
rcor,goGARCHsim-method Man page
rcoskew Man page
rcoskew,fMoments-method Man page
rcoskew,goGARCHfilter-method Man page
rcoskew,goGARCHfit-method Man page
rcoskew,goGARCHforecast-method Man page
rcoskew,goGARCHroll-method Man page
rcoskew,goGARCHsim-method Man page
rcov Man page
rcov,cGARCHfilter-method Man page
rcov,cGARCHfit-method Man page
rcov,cGARCHsim-method Man page
rcov,DCCfilter-method Man page
rcov,DCCfit-method Man page
rcov,DCCforecast-method Man page
rcov,DCCroll-method Man page
rcov,DCCsim-method Man page
rcov,fMoments-method Man page
rcov,goGARCHfilter-method Man page
rcov,goGARCHfit-method Man page
rcov,goGARCHforecast-method Man page
rcov,goGARCHroll-method Man page
rcov,goGARCHsim-method Man page
residuals,cGARCHfilter-method Man page
residuals,cGARCHfit-method Man page
residuals,DCCfilter-method Man page
residuals,DCCfit-method Man page
residuals,goGARCHfilter-method Man page
residuals,goGARCHfit-method Man page
rmgarch Man page
rmgarch-package Man page
rshape Man page
rshape,cGARCHfilter-method Man page
rshape,cGARCHfit-method Man page
rshape,DCCfilter-method Man page
rshape,DCCfit-method Man page
rshape,DCCforecast-method Man page
rshape,DCCroll-method Man page
rskew Man page
rskew,cGARCHfilter-method Man page
rskew,cGARCHfit-method Man page
rskew,DCCfilter-method Man page
rskew,DCCfit-method Man page
rskew,DCCforecast-method Man page
rskew,DCCroll-method Man page
setfixed<-,cGARCHspec,vector-method Man page
setfixed<-,DCCspec,vector-method Man page
setstart<-,cGARCHspec,vector-method Man page
setstart<-,DCCspec,vector-method Man page
show,cGARCHfilter-method Man page
show,cGARCHfit-method Man page
show,cGARCHsim-method Man page
show,cGARCHspec-method Man page
show,DCCfilter-method Man page
show,DCCfit-method Man page
show,DCCforecast-method Man page
show,DCCroll-method Man page
show,DCCsim-method Man page
show,DCCspec-method Man page
show,fMoments-method Man page
show,fScenario-method Man page
show,goGARCHfilter-method Man page
show,goGARCHfit-method Man page
show,goGARCHforecast-method Man page
show,goGARCHspec-method Man page
sigma,cGARCHfilter-method Man page
sigma,cGARCHfit-method Man page
sigma,cGARCHsim-method Man page
sigma,DCCfilter-method Man page
sigma,DCCfit-method Man page
sigma,DCCforecast-method Man page
sigma,DCCroll-method Man page
sigma,DCCsim-method Man page
sigma,goGARCHforecast-method Man page
sigma,goGARCHroll-method Man page
varxfilter Man page
varxfit Man page
varxforecast Man page
varxsim Man page
wmargin Man page

Files

TODO
inst
inst/CITATION
inst/COPYRIGHTS
inst/doc
inst/doc/The_rmgarch_models.Rnw
inst/doc/The_rmgarch_models.pdf
inst/rmgarch.tests
inst/rmgarch.tests/rmgarch.test2.R inst/rmgarch.tests/rmgarch.test1.R inst/rmgarch.tests/rmgarch.test4.R inst/rmgarch.tests/rmgarch.test3.R inst/rmgarch.tests/rmgarch.test5.R inst/rmgarch.tests/runtests.R
src
src/Makevars
src/copulas.h
src/rmdist.cpp
src/rdcc.cpp
src/ica.cpp
src/rmdist.h
src/gogarch.cpp
src/copulas.cpp
src/Makevars.win
src/rdcc.h
src/ica.h
src/gogarch.h
NAMESPACE
data
data/dji30retw.rda
R
R/copula-likelihoods.R R/rmgarch-var.R R/rdcc-methods.R R/rmgarch-ica.R R/fdcc-main.R R/rdcc-postestimation.R R/copula-classes.R R/rmgarch-scenario.R R/rdcc-solver.R R/rdcc-likelihoods.R R/copula-solver.R R/gogarch-main.R R/copula-methods.R R/rmgarch-tests.R R/rmgarch-classes.R R/gogarch-distributions.R R/copula-main.R R/rdcc-plots.R R/rmgarch-mmean.R R/rdcc-main.R R/rdcc-mdistributions.R R/copula-postestimation.R R/fdcc-likelihoods.R R/rmgarch-series.R R/copula-fn.R R/gogarch-classes.R R/gogarch-methods.R R/rdcc-classes.R R/rmgarch-functions.R R/copula-transformations.R R/zzz.R R/copula-distributions.R
vignettes
vignettes/The_rmgarch_models.Rnw
vignettes/The_rmgarch_models.tex
vignettes/rmgarchbib.bib
vignettes/rmgarch1.tex
README.md
MD5
build
build/vignette.rds
DESCRIPTION
ChangeLog
man
man/radical.Rd man/DCCfit-class.Rd man/dji30retw.Rd man/goGARCHfit-class.Rd man/cgarchsim-methods.Rd man/mGARCHspec-class.Rd man/cgarchspec-methods.Rd man/cgarchfit-methods.Rd man/DCCfilter-class.Rd man/DCCsim-class.Rd man/fastica.Rd man/goGARCHspec-class.Rd man/DCCtest.Rd man/gogarchsim-methods.Rd man/gogarchforecast-methods.Rd man/fMoments-class.Rd man/cordist.Rd man/dccsim-methods.Rd man/wmargin.Rd man/fscenario-methods.Rd man/mGARCHforecast-class.Rd man/gogarchfit-methods.Rd man/dccfilter-methods.Rd man/dccroll-methods.Rd man/varxfit.Rd man/dccspec-methods.Rd man/goGARCHfft-class.Rd man/mGARCHsim-class.Rd man/gogarchspec-methods.Rd man/mGARCHfilter-class.Rd man/dccfit-methods.Rd man/last-methods.Rd man/goload-methods.Rd man/DCCroll-class.Rd man/mGARCHfit-class.Rd man/cGARCHspec-class.Rd man/fScenario-class.Rd man/goGARCHroll-class.Rd man/gogarchroll-methods.Rd man/DCCforecast-class.Rd man/DCCspec-class.Rd man/goGARCHfilter-class.Rd man/cGARCHfit-class.Rd man/cgarchfilter-methods.Rd man/fmoments-methods.Rd man/cGARCHsim-class.Rd man/gogarchfilter-methods.Rd man/goGARCHsim-class.Rd man/rmgarch-package.Rd man/cGARCHfilter-class.Rd man/mGARCHroll-class.Rd man/dccforecast-methods.Rd man/goGARCHforecast-class.Rd
.Rinstignore

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