rmgarch: Multivariate GARCH Models

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

Author
Alexios Ghalanos <alexios@4dscape.com>
Date of publication
2015-12-28 08:51:15
Maintainer
Alexios Ghalanos <alexios@4dscape.com>
License
GPL-3
Version
1.3-0
URLs

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

Files in this package

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