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 |

http://www.unstarched.net | |

https://bitbucket.org/alexiosg |

**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

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

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.