rugarch: Univariate GARCH Models

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Author
Alexios Ghalanos <alexios@4dscape.com>
Date of publication
2015-08-16 08:25:37
Maintainer
Alexios Ghalanos <alexios@4dscape.com>
License
GPL-3
Version
1.3-6
URLs

View on CRAN

Man pages

ARFIMA-class
class: High Level ARFIMA class
arfimacv
ARFIMAX time series cross validation
ARFIMAdistribution-class
class: ARFIMA Parameter Distribution Class
arfimadistribution-methods
function: ARFIMA Parameter Distribution via Simulation
ARFIMAfilter-class
class: ARFIMA Filter Class
arfimafilter-methods
function: ARFIMA Filtering
ARFIMAfit-class
class: ARFIMA Fit Class
arfimafit-methods
function: ARFIMA Fit
ARFIMAforecast-class
class: ARFIMA Forecast Class
arfimaforecast-methods
function: ARFIMA Forecasting
ARFIMAmultifilter-class
class: ARFIMA Multiple Filter Class
ARFIMAmultifit-class
class: ARFIMA Multiple Fit Class
ARFIMAmultiforecast-class
class: ARFIMA Multiple Forecast Class
ARFIMAmultispec-class
class: ARFIMA Multiple Specification Class
ARFIMApath-class
class: ARFIMA Path Simulation Class
arfimapath-methods
function: ARFIMA Path Simulation
ARFIMAroll-class
class: ARFIMA Rolling Forecast Class
arfimaroll-methods
function: ARFIMA Rolling Density Forecast and Backtesting
ARFIMAsim-class
class: ARFIMA Simulation Class
arfimasim-methods
function: ARFIMA Simulation
ARFIMAspec-class
class: ARFIMA Specification Class
arfimaspec-methods
function: ARFIMA Specification
autoarfima
Automatic Model Selection for ARFIMA models
BerkowitzTest
Berkowitz Density Forecast Likelihood Ratio Test
DACTest
Directional Accuracy Test
DateTimeUtilities
A small set of utilities to work with some time and date...
dji30ret
data: Dow Jones 30 Constituents Closing Value Log Return
dmbp
data: Deutschemark/British pound Exchange Rate
ESTest
Expected Shortfall Test.
GARCHboot-class
class: GARCH Bootstrap Class
GARCHdistribution-class
class: GARCH Parameter Distribution Class
GARCHfilter-class
class: GARCH Filter Class
GARCHfit-class
class: GARCH Fit Class
GARCHforecast-class
class: GARCH Forecast Class
GARCHpath-class
class: GARCH Path Simulation Class
GARCHroll-class
class: GARCH Roll Class
GARCHsim-class
class: GARCH Simulation Class
GARCHspec-class
class: GARCH Spec Class
GARCHtests-class
class: GARCH Tests Class
ghyptransform
Distribution: Generalized Hyperbolic Transformation and...
GMMTest
The GMM Orthogonality Test of Hansen
HLTest
The Non-Parametric Density Test of Hong and Li
mcs
Model Confidence Set Test
multifilter-methods
function: Univariate GARCH and ARFIMA Multiple Filtering
multifit-methods
function: Univariate GARCH and ARFIMA Multiple Fitting
multiforecast-methods
function: Univariate GARCH and ARFIMA Multiple Forecasting
multispec-methods
function: Univariate multiple GARCH Specification
rGARCH-class
class: rGARCH Class
rugarch-package
The rugarch package
sp500ret
data: Standard and Poors 500 Closing Value Log Return
spyreal
data: SPDR Standard and Poors 500 Open-Close Daily Return and...
ugarchbench
Benchmark: The Benchmark Test Suite
uGARCHboot-class
class: Univariate GARCH Bootstrap Class
ugarchboot-methods
function: Univariate GARCH Forecast via Bootstrap
ugarchdist
Distribution: rugarch distribution functions
uGARCHdistribution-class
class: Univariate GARCH Parameter Distribution Class
ugarchdistribution-methods
function: Univariate GARCH Parameter Distribution via...
uGARCHfilter-class
class: Univariate GARCH Filter Class
ugarchfilter-methods
function: Univariate GARCH Filtering
uGARCHfit-class
class: Univariate GARCH Fit Class
ugarchfit-methods
function: Univariate GARCH Fitting
uGARCHforecast-class
class: Univariate GARCH Forecast Class
ugarchforecast-methods
function: Univariate GARCH Forecasting
uGARCHmultifilter-class
class: Univariate GARCH Multiple Filter Class
uGARCHmultifit-class
class: Univariate GARCH Multiple Fit Class
uGARCHmultiforecast-class
class: Univariate GARCH Multiple Forecast Class
uGARCHmultispec-class
class: Univariate GARCH Multiple Specification Class
uGARCHpath-class
class: Univariate GARCH Path Simulation Class
ugarchpath-methods
function: Univariate GARCH Path Simulation
uGARCHroll-class
class: Univariate GARCH Rolling Forecast Class
ugarchroll-methods
function: Univariate GARCH Rolling Density Forecast and...
uGARCHsim-class
class: Univariate GARCH Simulation Class
ugarchsim-methods
function: Univariate GARCH Simulation
uGARCHspec-class
class: Univariate GARCH Specification Class
ugarchspec-methods
function: Univariate GARCH Specification
VaRDurTest
VaR Duration Test
VaRloss
Value at Risk loss function of Gonzalez-Rivera, Lee, and...
VaRplot
Value at Risk Exceedances plot
VaRTest
Value at Risk Exceedances Test

Files in this package

rugarch
rugarch/inst
rugarch/inst/CITATION
rugarch/inst/rugarch.tests
rugarch/inst/rugarch.tests/rugarch.test12.R
rugarch/inst/rugarch.tests/rugarch.test2.R
rugarch/inst/rugarch.tests/rugarch.test1.R
rugarch/inst/rugarch.tests/rugarch.test3.R
rugarch/inst/rugarch.tests/rugarch.test10.R
rugarch/inst/rugarch.tests/rugarch.test9.R
rugarch/inst/rugarch.tests/rugarch.test4.R
rugarch/inst/rugarch.tests/rugarch.test5.R
rugarch/inst/rugarch.tests/rugarch.test7.R
rugarch/inst/rugarch.tests/rugarch.test13.R
rugarch/inst/rugarch.tests/rugarch.test6.R
rugarch/inst/rugarch.tests/runtests.R
rugarch/inst/rugarch.tests/rugarch.test8.R
rugarch/inst/rugarch.tests/rugarch.test11.R
rugarch/inst/COPYRIGHTS
rugarch/inst/doc
rugarch/inst/doc/Introduction_to_the_rugarch_package.pdf
rugarch/inst/doc/Introduction_to_the_rugarch_package.Rnw
rugarch/src
rugarch/src/Makevars
rugarch/src/distributions.c
rugarch/src/garchsim.h
rugarch/src/fracdiff.c
rugarch/src/garchmodels.c
rugarch/src/rugarch.h
rugarch/src/fracimport.f
rugarch/src/fracdiff.h
rugarch/src/filters.c
rugarch/src/garchsim.cpp
rugarch/src/nig.c
rugarch/src/Makevars.win
rugarch/src/gig.h
rugarch/src/distributions.h
rugarch/src/nig.h
rugarch/src/filters.h
rugarch/src/gig.c
rugarch/NAMESPACE
rugarch/data
rugarch/data/sp500ret.rda
rugarch/data/dmbp.rda
rugarch/data/dji30ret.rda
rugarch/data/spyreal.rda
rugarch/R
rugarch/R/arfima-classes.R
rugarch/R/rugarch-realgarch.R
rugarch/R/rugarch-sgarch.R
rugarch/R/rugarch-fgarch.R
rugarch/R/rugarch-lossfn.R
rugarch/R/rugarch-graphs.R
rugarch/R/rugarch-methods.R
rugarch/R/rugarch-benchmarks.R
rugarch/R/rugarch-bootstrap.R
rugarch/R/rugarch-uncertainty.R
rugarch/R/rugarch-egarch.R
rugarch/R/rugarch-kappa.R
rugarch/R/rugarch-numderiv.R
rugarch/R/rugarch-series.R
rugarch/R/arfima-methods.R
rugarch/R/rugarch-multi.R
rugarch/R/rugarch-imports.R
rugarch/R/rugarch-gjrgarch.R
rugarch/R/rugarch-distributions.R
rugarch/R/rugarch-startpars.R
rugarch/R/rugarch-rolling.R
rugarch/R/arfima-main.R
rugarch/R/rugarch-mcsgarch.R
rugarch/R/rugarch-solvers.R
rugarch/R/rugarch-plots.R
rugarch/R/rugarch-cwrappers.R
rugarch/R/rugarch-igarch.R
rugarch/R/arfima-multi.R
rugarch/R/rugarch-csgarch.R
rugarch/R/rugarch-helperfn.R
rugarch/R/rugarch-tests.R
rugarch/R/rugarch-aparch.R
rugarch/R/rugarch-cv.R
rugarch/R/rugarch-armafor.R
rugarch/R/rugarch-classes.R
rugarch/R/zzz.R
rugarch/vignettes
rugarch/vignettes/ghyp1.png
rugarch/vignettes/rugarchbib.bib
rugarch/vignettes/fitplot.png
rugarch/vignettes/roll.png
rugarch/vignettes/boot_partial.png
rugarch/vignettes/Introduction_to_the_rugarch_package.Rnw
rugarch/vignettes/ghyp3.png
rugarch/vignettes/dist1.png
rugarch/vignettes/ghyp4.png
rugarch/vignettes/dist2.png
rugarch/vignettes/rugarch.tex
rugarch/vignettes/Introduction_to_the_rugarch_package.tex
rugarch/vignettes/dist11.png
rugarch/vignettes/dist3.png
rugarch/vignettes/ghyp2.png
rugarch/README.md
rugarch/MD5
rugarch/build
rugarch/build/vignette.rds
rugarch/DESCRIPTION
rugarch/ChangeLog
rugarch/man
rugarch/man/ugarchspec-methods.Rd
rugarch/man/uGARCHmultiforecast-class.Rd
rugarch/man/GARCHsim-class.Rd
rugarch/man/VaRplot.Rd
rugarch/man/ARFIMAmultispec-class.Rd
rugarch/man/ARFIMAfit-class.Rd
rugarch/man/mcs.Rd
rugarch/man/uGARCHmultifilter-class.Rd
rugarch/man/arfimafilter-methods.Rd
rugarch/man/GARCHtests-class.Rd
rugarch/man/ugarchdist.Rd
rugarch/man/ugarchroll-methods.Rd
rugarch/man/uGARCHroll-class.Rd
rugarch/man/uGARCHspec-class.Rd
rugarch/man/GARCHspec-class.Rd
rugarch/man/dji30ret.Rd
rugarch/man/ugarchboot-methods.Rd
rugarch/man/ARFIMAdistribution-class.Rd
rugarch/man/arfimafit-methods.Rd
rugarch/man/DateTimeUtilities.Rd
rugarch/man/ESTest.Rd
rugarch/man/sp500ret.Rd
rugarch/man/arfimaforecast-methods.Rd
rugarch/man/arfimapath-methods.Rd
rugarch/man/GARCHforecast-class.Rd
rugarch/man/ARFIMAmultifit-class.Rd
rugarch/man/ugarchpath-methods.Rd
rugarch/man/arfimasim-methods.Rd
rugarch/man/GARCHpath-class.Rd
rugarch/man/arfimadistribution-methods.Rd
rugarch/man/arfimaspec-methods.Rd
rugarch/man/ARFIMApath-class.Rd
rugarch/man/dmbp.Rd
rugarch/man/ARFIMAsim-class.Rd
rugarch/man/ARFIMAforecast-class.Rd
rugarch/man/uGARCHfilter-class.Rd
rugarch/man/arfimaroll-methods.Rd
rugarch/man/arfimacv.Rd
rugarch/man/uGARCHmultispec-class.Rd
rugarch/man/GARCHdistribution-class.Rd
rugarch/man/uGARCHpath-class.Rd
rugarch/man/BerkowitzTest.Rd
rugarch/man/uGARCHfit-class.Rd
rugarch/man/GARCHboot-class.Rd
rugarch/man/rugarch-package.Rd
rugarch/man/uGARCHmultifit-class.Rd
rugarch/man/ghyptransform.Rd
rugarch/man/uGARCHforecast-class.Rd
rugarch/man/ARFIMAmultifilter-class.Rd
rugarch/man/ARFIMAfilter-class.Rd
rugarch/man/multifit-methods.Rd
rugarch/man/ugarchdistribution-methods.Rd
rugarch/man/ARFIMAmultiforecast-class.Rd
rugarch/man/ugarchbench.Rd
rugarch/man/uGARCHdistribution-class.Rd
rugarch/man/ugarchforecast-methods.Rd
rugarch/man/ARFIMAroll-class.Rd
rugarch/man/uGARCHboot-class.Rd
rugarch/man/GARCHroll-class.Rd
rugarch/man/HLTest.Rd
rugarch/man/GARCHfit-class.Rd
rugarch/man/GMMTest.Rd
rugarch/man/ARFIMAspec-class.Rd
rugarch/man/rGARCH-class.Rd
rugarch/man/spyreal.Rd
rugarch/man/ARFIMA-class.Rd
rugarch/man/ugarchfilter-methods.Rd
rugarch/man/autoarfima.Rd
rugarch/man/ugarchfit-methods.Rd
rugarch/man/VaRloss.Rd
rugarch/man/uGARCHsim-class.Rd
rugarch/man/ugarchsim-methods.Rd
rugarch/man/multifilter-methods.Rd
rugarch/man/DACTest.Rd
rugarch/man/VaRTest.Rd
rugarch/man/multiforecast-methods.Rd
rugarch/man/multispec-methods.Rd
rugarch/man/VaRDurTest.Rd
rugarch/man/GARCHfilter-class.Rd
rugarch/.Rinstignore