rmgarch
Multivariate GARCH Models

Package index
Search the rmgarch package
Vignettes
Functions
773
Source code
40
Man pages
53
Home
/
CRAN
/
rmgarch: Multivariate GARCH Models
/
API

API for rmgarch
Multivariate GARCH Models

Global functions
.Pconstruct Source code
.Pdeconstruct Source code
.Spearman Source code
.adcccon Source code
.asymI Source code
.betacokurt.fit Source code
.betacokurt.forecast Source code
.betacoskew.fit Source code
.betacoskew.forecast Source code
.betacovar.fit Source code
.betacovar.forecast Source code
.cgarchfilter Source code
.cgarchfilter.dynamic Source code
.cgarchfilter.static Source code
.cgarchfit Source code
.cgarchfit.dynamic Source code
.cgarchfit.static Source code
.cgarchhessian Source code
.cgarchmakefitmodel1 Source code
.cgarchmakefitmodel2 Source code
.cgarchsim Source code
.cgarchsim1 Source code
.cgarchsim2 Source code
.cgarchspec Source code
.coef.cgarchfilter Source code
.coef.cgarchfit Source code
.coef.dccfit Source code
.coef.dccroll Source code
.cokurt.ind Source code
.cokurt.pairs Source code
.cokurt.sigma Source code
.colorgradient Source code
.convolution Source code
.convolution.gogarchroll Source code
.convolution.gogarchsim Source code
.convolutionf Source code
.convolve.gh Source code
.convolve.nig Source code
.convolve.norm Source code
.convolve.roll.mn Source code
.convolve.roll.nig Source code
.copuladccsimf Source code
.copulagetcontrol Source code
.copulagosolnpctrl Source code
.copulagosolnpsolver Source code
.copulalbfgsctrl Source code
.copulalbfgssolver Source code
.copulanlminbctrl Source code
.copulanlminbsolver Source code
.copulasolnpctrl Source code
.copulasolnpsolver Source code
.copulasolver Source code
.cor2cov Source code
.coskew.ind Source code
.coskew.sigma Source code
.csimpsum Source code
.dcccon Source code
.dccfilter Source code
.dccfit Source code
.dccforecast Source code
.dccforecastm Source code
.dccforecastn Source code
.dccgetcontrol Source code
.dccgosolnpctrl Source code
.dccgosolnpsolver Source code
.dcchessian Source code
.dccinfocriteria.fit Source code
.dcclbfgsctrl Source code
.dcclbfgssolver Source code
.dccmakefiltermodel Source code
.dccmakefitmodel Source code
.dccnlminbctrl Source code
.dccnlminbsolver Source code
.dccsim.fit Source code
.dccsim.spec Source code
.dccsimf Source code
.dccsolnpctrl Source code
.dccsolnpsolver Source code
.dccsolver Source code
.dccspec Source code
.dcintmoments Source code
.deltaKappaGH Source code
.dfft Source code
.dfft.mn Source code
.dfft.num Source code
.dfun Source code
.divisortable Source code
.embed Source code
.embed_safe Source code
.estindfn Source code
.extractmdata Source code
.fastica Source code
.fd10 Source code
.fd11 Source code
.fd12 Source code
.fd13 Source code
.fd20 Source code
.fd21 Source code
.fd22 Source code
.fd23 Source code
.fd30 Source code
.fd31 Source code
.fd32 Source code
.fd33 Source code
.fd40 Source code
.fd41 Source code
.fd42 Source code
.fd43 Source code
.fdcccon Source code
.fdccfilter Source code
.fdccfit Source code
.fdccforecast Source code
.fdccforecastm Source code
.fdccforecastn Source code
.fdccforecastn2 Source code
.fdccsim.fit Source code
.fdccsim.spec Source code
.fdccsimf Source code
.fdccspec Source code
.fdmethod Source code
.first.array Source code
.fitted.cgarchfit Source code
.fitted.cgarchsim Source code
.fitted.dccfit Source code
.fitted.dccforecast Source code
.fitted.dccroll Source code
.fitted.dccsim Source code
.fitted.fmoments Source code
.fitted.fscenario Source code
.fmoments Source code
.fnorm Source code
.fpdefl Source code
.fpica Source code
.fpsymm Source code
.fs10 Source code
.fs11 Source code
.fs12 Source code
.fs13 Source code
.fs20 Source code
.fs21 Source code
.fs22 Source code
.fs23 Source code
.fs30 Source code
.fs31 Source code
.fs32 Source code
.fs33 Source code
.fs40 Source code
.fs41 Source code
.fs42 Source code
.fs43 Source code
.fscenario Source code
.fsmethod Source code
.fullinc Source code
.fullinc2 Source code
.fullinc_fdcc Source code
.gausscopulafn Source code
.genxts Source code
.getSamples Source code
.ghypfn Source code
.ghypscale Source code
.ghypscale2 Source code
.ghyptransform Source code
.gogarchcoef Source code
.gogarchfilter Source code
.gogarchfit Source code
.gogarchfitroll Source code
.gogarchfitsig Source code
.gogarchfitted Source code
.gogarchforcfitted Source code
.gogarchforcsig Source code
.gogarchforecast Source code
.gogarchllh Source code
.gogarchllh.independent Source code
.gogarchresids Source code
.gogarchrollccoef Source code
.gogarchsigroll Source code
.gogarchsim.filter Source code
.gogarchsim.fit Source code
.gogarchsimsig Source code
.gogarchspec Source code
.gogetscen Source code
.goload1 Source code
.goload2 Source code
.gportmoments Source code
.gportmoments.garchroll Source code
.gportmoments.garchsim Source code
.gportmomentsf Source code
.information.test Source code
.interdccfitPlot Source code
.interdccforecastPlot Source code
.interdccrollPlot Source code
.interval Source code
.intpol Source code
.intpolold Source code
.isEqual Source code
.isEqual01 Source code
.isIn Source code
.ivech2 Source code
.ivechR Source code
.kappaGH Source code
.lagmatrix Source code
.lagx Source code
.last.array Source code
.likelihood.cgarchfit Source code
.likelihood.dccfit Source code
.lowertri.index Source code
.mDistributionBounds Source code
.makeDNew Source code
.makePNew Source code
.makePd Source code
.makeQNew Source code
.makeQc Source code
.makeQd Source code
.makeiid Source code
.makemultispec Source code
.makeposdef Source code
.matrix2xts Source code
.multdccfitPlot Source code
.multdccforecastPlot Source code
.multdccrollPlot Source code
.newsimpact.dcc Source code
.newsimpact.dcc.cor Source code
.newsimpact.dcc.cov Source code
.newsimpact.fdcc.cor Source code
.newsimpact.fdcc.cov Source code
.newsimpact.gogarch Source code
.newsimpact.gogarch.cor Source code
.newsimpact.gogarch.cov Source code
.nigscale Source code
.nigscale2 Source code
.nigtransform Source code
.nmoments.fft Source code
.nmoments.lin Source code
.normscale Source code
.nportmoments Source code
.onUnload Source code
.ones Source code
.orthogonal Source code
.paramGH Source code
.pca Source code
.pempirical Source code
.pempirical.filter Source code
.pfft Source code
.pfft.mn Source code
.pfft.num Source code
.plot.dccfit.1 Source code
.plot.dccfit.2 Source code
.plot.dccfit.3 Source code
.plot.dccfit.4 Source code
.plot.dccfit.5 Source code
.plot.dccforecast.1 Source code
.plot.dccforecast.2 Source code
.plot.dccforecast.3 Source code
.plot.dccforecast.4 Source code
.plot.dccforecast.5 Source code
.plot.dccroll.1 Source code
.plot.dccroll.2 Source code
.plot.dccroll.3 Source code
.plot.dccroll.4 Source code
.plot.dccroll.5 Source code
.plotdccfit Source code
.plotdccforecast Source code
.plotdccroll Source code
.pparametric Source code
.pparametric.filter Source code
.primefun Source code
.pspd Source code
.pspd.filter Source code
.qempirical Source code
.qfft Source code
.qfft.mn Source code
.qfft.num Source code
.qparametric Source code
.qspd Source code
.radical Source code
.radicalOptThetaC Source code
.rcokurt Source code
.rcokurt.fmoments Source code
.rcokurtroll Source code
.rcokurtsim Source code
.rcopula Source code
.rcor.cgarchfit Source code
.rcor.cgarchsim Source code
.rcor.dccfit Source code
.rcor.dccforecast Source code
.rcor.dccroll Source code
.rcor.dccsim Source code
.rcorgarch Source code
.rcorgarchf Source code
.rcorgarchsim Source code
.rcorroll Source code
.rcoskew Source code
.rcoskew.fmoments Source code
.rcoskewroll Source code
.rcoskewsim Source code
.rcov.cgarchfit Source code
.rcov.cgarchsim Source code
.rcov.dccfit Source code
.rcov.dccforecast Source code
.rcov.dccroll Source code
.rcov.dccsim Source code
.rcov.fmoments Source code
.rcovgarch Source code
.rcovgarchf Source code
.rcovgarchsim Source code
.rcovroll Source code
.repmat Source code
.residuals.cgarchfit Source code
.residuals.dccfit Source code
.rolldcc.assets Source code
.rolldcc.windows Source code
.rollgogarch Source code
.rot90 Source code
.rtvcopula Source code
.sample.copula Source code
.sdigit Source code
.selcol Source code
.setEqual Source code
.setfixedcg Source code
.setfixeddcc Source code
.setstartcg Source code
.setstartdcc Source code
.shape.cgarchfit Source code
.shape.dccfit Source code
.shape.dccroll Source code
.sigma.cgarchfit Source code
.sigma.cgarchsim Source code
.sigma.dccfit Source code
.sigma.dccforecast Source code
.sigma.dccroll Source code
.sigma.dccsim Source code
.simlayout Source code
.simulate.constant Source code
.skew.cgarchfit Source code
.skew.dccfit Source code
.skew.dccroll Source code
.sqrtm Source code
.sqrtsymmat Source code
.stars Source code
.tcopulafn Source code
.umeanvar Source code
.varcovres Source code
.vasicekm Source code
.vech2 Source code
.vechR Source code
.wintpl Source code
.xdccfilter Source code
.xdccfit Source code
.xdccforecast Source code
.xdccroll Source code
.xdccsim.fit Source code
.xdccsim.spec Source code
.xdccspec Source code
.zeros Source code
CMD Source code
DCCfilter-class Man page
DCCfit-class Man page
DCCforecast-class Man page
DCCroll-class Man page
DCCsim-class Man page
DCCspec-class Man page
DCCtest Man page Source code
MardiaTest Source code
array2matrix Source code
as.matgofit Source code
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 Source code
betacokurt,goGARCHfilter-method Man page
betacokurt,goGARCHfit-method Man page
betacokurt,goGARCHforecast-method Man page
betacoskew Man page Source code
betacoskew,goGARCHfilter-method Man page
betacoskew,goGARCHfit-method Man page
betacoskew,goGARCHforecast-method Man page
betacovar Man page Source code
betacovar,goGARCHfilter-method Man page
betacovar,goGARCHfit-method Man page
betacovar,goGARCHforecast-method Man page
bs.cov Source code
cGARCHfilter-class Man page
cGARCHfit-class Man page
cGARCHsim-class Man page
cGARCHspec-class Man page
cfinv Source code
cgarchfilter Man page Source code
cgarchfilter,ANY-method Man page
cgarchfilter,cGARCHspec-method Man page
cgarchfit Man page Source code
cgarchfit,ANY-method Man page
cgarchfit,cGARCHspec-method Man page
cgarchsim Man page Source code
cgarchsim,ANY-method Man page
cgarchsim,cGARCHfit-method Man page
cgarchspec Man page Source code
cgarchspec,ANY-method Man page
cgarchspec,uGARCHmultispec-method Man page
check_ICA Source code
coef,DCCfilter-method Man page
coef,DCCfit-method Man page
coef,DCCroll-method Man page
coef,cGARCHfilter-method Man page
coef,cGARCHfit-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 Source code
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
copula.adcccon Source code
copula.dcccon Source code
copula.normalLLH1 Source code
copula.normalLLH2 Source code
copula.normalLLH3 Source code
copula.studentLLH1 Source code
copula.studentLLH2 Source code
copula.studentLLH3 Source code
copula.tvnormalLLH1 Source code
copula.tvnormalLLH2 Source code
copula.tvnormalLLH3 Source code
copula.tvstudentLLH1 Source code
copula.tvstudentLLH2 Source code
copula.tvstudentLLH3 Source code
cordist Man page Source code
dcc.symcheck Source code
dccfilter Man page Source code
dccfilter,ANY-method Man page
dccfilter,DCCspec-method Man page
dccfit Man page Source code
dccfit,ANY-method Man page
dccfit,DCCspec-method Man page
dccforecast Man page Source code
dccforecast,ANY-method Man page
dccforecast,DCCfit-method Man page
dccroll Man page Source code
dccroll,ANY-method Man page
dccroll,DCCspec-method Man page
dccsim Man page Source code
dccsim,ANY-method Man page
dccsim,DCCfit-method Man page
dccsim,DCCspec-method Man page
dccspec Man page Source code
dccspec,ANY-method Man page
dccspec,uGARCHmultispec-method Man page
dcgarch Source code
dcopula.gauss Source code
dcopula.student Source code
dfft Man page Source code
dfft,goGARCHfft-method Man page
dji30retw Man page
dmdist Source code
eigfun Source code
ewma.cov Source code Source code
fMoments-class Man page
fMoments.default Source code
fScenario-class Man page
fScenario.default Source code
fast_kron_M Source code
fastica Man page Source code
first Man page Source code
first,ANY-method Man page
first,array-method Man page
first-methods 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,cGARCHfilter-method Man page
fitted,cGARCHfit-method Man page
fitted,cGARCHsim-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 Source code
fmoments,ANY-method Man page
fmoments-methods Man page
fscenario Man page Source code
fscenario,ANY-method Man page
fscenario-methods Man page
fun.cov Source code
getfdccpars Source code
ghypmvcf Source code
goGARCHfft-class Man page
goGARCHfilter-class Man page
goGARCHfit-class Man page
goGARCHforecast-class Man page
goGARCHroll-class Man page
goGARCHsim-class Man page
goGARCHspec-class Man page
gogarchfilter Man page Source code
gogarchfilter,ANY-method Man page
gogarchfilter,goGARCHfit-method Man page
gogarchfit Man page Source code
gogarchfit,ANY-method Man page
gogarchfit,goGARCHspec-method Man page
gogarchforecast Man page Source code
gogarchforecast,ANY-method Man page
gogarchforecast,goGARCHfit-method Man page
gogarchforecast-methods Man page
gogarchroll Man page Source code
gogarchroll,ANY-method Man page
gogarchroll,goGARCHspec-method Man page
gogarchsim Man page Source code
gogarchsim,ANY-method Man page
gogarchsim,goGARCHfilter-method Man page
gogarchsim,goGARCHfit-method Man page
gogarchspec Man page Source code
gogarchspec,ANY-method Man page
gogarchspec-methods Man page
goget Man page Source code
goget,ANY-method Man page
goget,fScenario-method Man page
goload Man page Source code
goload,ANY-method Man page
goload,fMoments-method Man page
goload,fScenario-method Man page
goload-methods Man page
gportmoments Man page Source code
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
laplace.dccLLH1 Source code
laplace.dccLLH2 Source code
laplacefilter.dccLLH2 Source code
last Man page Source code
last,ANY-method Man page
last,array-method Man page
last-methods Man page
likelihood,DCCfilter-method Man page
likelihood,DCCfit-method Man page
likelihood,DCCroll-method Man page
likelihood,cGARCHfilter-method Man page
likelihood,cGARCHfit-method Man page
likelihood,goGARCHfilter-method Man page
likelihood,goGARCHfit-method Man page
lower.tri_na Source code
lw.cov Source code Source code
mGARCHfilter-class Man page
mGARCHfit-class Man page
mGARCHforecast-class Man page
mGARCHroll-class Man page
mGARCHsim-class Man page
mGARCHspec-class Man page
make.cov.names Source code
mlts Source code
mlts.parallel Source code
mom.dcc Source code
mom.gogarch Source code
mvmean.arfilter Source code
mvmean.arfit Source code
mvmean.arforecast Source code
mvmean.arsim Source code
mvmean.varfilter Source code
mvmean.varfit Source code
mvmean.varforecast Source code
mvmean.varsim Source code
newlagmatrix Source code
nigmvcf Source code
nisurface Man page Source code
nisurface,DCCfilter-method Man page
nisurface,DCCfit-method Man page
nisurface,goGARCHfilter-method Man page
nisurface,goGARCHfit-method Man page
normal.dccLLH1 Source code
normal.dccLLH2 Source code
normal.fdccLLH1 Source code
normal.fdccLLH2 Source code
normalfilter.dccLLH2 Source code
normalfilter.fdccLLH2 Source code
nportmoments Man page Source code
nportmoments,goGARCHfft-method Man page
ones Source code
pfft Man page Source code
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
pmdist Source code
qfft Man page Source code
qfft,goGARCHfft-method Man page
qmdist Source code
radical Man page Source code
rcokurt Man page Source code
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
rcopula.gauss Source code
rcopula.student Source code
rcor Man page Source code
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,cGARCHfilter-method Man page
rcor,cGARCHfit-method Man page
rcor,cGARCHsim-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 Source code
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 Source code
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,cGARCHfilter-method Man page
rcov,cGARCHfit-method Man page
rcov,cGARCHsim-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
repmat Source code
residuals,DCCfilter-method Man page
residuals,DCCfit-method Man page
residuals,cGARCHfilter-method Man page
residuals,cGARCHfit-method Man page
residuals,goGARCHfilter-method Man page
residuals,goGARCHfit-method Man page
rmdist Source code
rmgarch Man page
rmgarch-package Man page
rob.cov Source code
robustvar Source code
rshape Man page Source code
rshape,DCCfilter-method Man page
rshape,DCCfit-method Man page
rshape,DCCforecast-method Man page
rshape,DCCroll-method Man page
rshape,cGARCHfilter-method Man page
rshape,cGARCHfit-method Man page
rskew Man page Source code
rskew,DCCfilter-method Man page
rskew,DCCfit-method Man page
rskew,DCCforecast-method Man page
rskew,DCCroll-method Man page
rskew,cGARCHfilter-method Man page
rskew,cGARCHfit-method Man page
scenario.cgarch Source code
scenario.dcc Source code
scenario.gogarch Source code
scenario.mdist Source code
scenario.var Source code
setfixed<-,DCCspec,vector-method Man page
setfixed<-,cGARCHspec,vector-method Man page
setstart<-,DCCspec,vector-method Man page
setstart<-,cGARCHspec,vector-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,cGARCHfilter-method Man page
show,cGARCHfit-method Man page
show,cGARCHsim-method Man page
show,cGARCHspec-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,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,cGARCHfilter-method Man page
sigma,cGARCHfit-method Man page
sigma,cGARCHsim-method Man page
sigma,goGARCHforecast-method Man page
sigma,goGARCHroll-method Man page
size Source code
sm2vec Source code
student.dccLLH1 Source code
student.dccLLH2 Source code
studentfilter.dccLLH2 Source code
upper.tri_na Source code
varxfilter Man page Source code
varxfit Man page Source code
varxforecast Man page Source code
varxsim Man page Source code
varxsimXX Source code
whitenv Source code
wmargin Man page Source code
wmargin.mvlaplace Source code
wmargin.mvn Source code
wmargin.mvt Source code
xfun Source code
xfun1 Source code
xfun2 Source code
xfun3 Source code
xfun4 Source code
zeros Source code
rmgarch documentation built on Feb. 5, 2022, 1:07 a.m.

R Package Documentation

rdrr.io home R language documentation Run R code online

Browse R Packages

CRAN packages Bioconductor packages R-Forge packages GitHub packages

We want your feedback!

Note that we can't provide technical support on individual packages. You should contact the package authors for that.
GitHub issue tracker
ian@mutexlabs.com
Personal blog

 
Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.

Close