Man pages for rugarch
Univariate GARCH Models

ARFIMA-classclass: High Level ARFIMA class
arfimacvARFIMAX time series cross validation
ARFIMAdistribution-classclass: ARFIMA Parameter Distribution Class
arfimadistribution-methodsfunction: ARFIMA Parameter Distribution via Simulation
ARFIMAfilter-classclass: ARFIMA Filter Class
arfimafilter-methodsfunction: ARFIMA Filtering
ARFIMAfit-classclass: ARFIMA Fit Class
arfimafit-methodsfunction: ARFIMA Fit
ARFIMAforecast-classclass: ARFIMA Forecast Class
arfimaforecast-methodsfunction: ARFIMA Forecasting
ARFIMAmultifilter-classclass: ARFIMA Multiple Filter Class
ARFIMAmultifit-classclass: ARFIMA Multiple Fit Class
ARFIMAmultiforecast-classclass: ARFIMA Multiple Forecast Class
ARFIMAmultispec-classclass: ARFIMA Multiple Specification Class
ARFIMApath-classclass: ARFIMA Path Simulation Class
arfimapath-methodsfunction: ARFIMA Path Simulation
ARFIMAroll-classclass: ARFIMA Rolling Forecast Class
arfimaroll-methodsfunction: ARFIMA Rolling Density Forecast and Backtesting
ARFIMAsim-classclass: ARFIMA Simulation Class
arfimasim-methodsfunction: ARFIMA Simulation
ARFIMAspec-classclass: ARFIMA Specification Class
arfimaspec-methodsfunction: ARFIMA Specification
autoarfimaAutomatic Model Selection for ARFIMA models
BerkowitzTestBerkowitz Density Forecast Likelihood Ratio Test
DACTestDirectional Accuracy Test
DateTimeUtilitiesA small set of utilities to work with some time and date...
dji30retdata: Dow Jones 30 Constituents Closing Value Log Return
dmbpdata: Deutschemark/British pound Exchange Rate
ESTestExpected Shortfall Test.
extradistfunFunctions exported for use in rmgarch
GARCHboot-classclass: GARCH Bootstrap Class
GARCHdistribution-classclass: GARCH Parameter Distribution Class
GARCHfilter-classclass: GARCH Filter Class
GARCHfit-classclass: GARCH Fit Class
GARCHforecast-classclass: GARCH Forecast Class
GARCHpath-classclass: GARCH Path Simulation Class
GARCHroll-classclass: GARCH Roll Class
GARCHsim-classclass: GARCH Simulation Class
GARCHspec-classclass: GARCH Spec Class
GARCHtests-classclass: GARCH Tests Class
ghyptransformDistribution: Generalized Hyperbolic Transformation and...
GMMTestThe GMM Orthogonality Test of Hansen
HLTestThe Non-Parametric Density Test of Hong and Li
mcsModel Confidence Set Test
multifilter-methodsfunction: Univariate GARCH and ARFIMA Multiple Filtering
multifit-methodsfunction: Univariate GARCH and ARFIMA Multiple Fitting
multiforecast-methodsfunction: Univariate GARCH and ARFIMA Multiple Forecasting
multispec-methodsfunction: Univariate multiple GARCH Specification
rGARCH-classclass: rGARCH Class
rugarch-packageThe rugarch package
sp500retdata: Standard and Poors 500 Closing Value Log Return
spyrealdata: SPDR Standard and Poors 500 Open-Close Daily Return and...
ugarchbenchBenchmark: The Benchmark Test Suite
uGARCHboot-classclass: Univariate GARCH Bootstrap Class
ugarchboot-methodsfunction: Univariate GARCH Forecast via Bootstrap
ugarchdistDistribution: rugarch distribution functions
uGARCHdistribution-classclass: Univariate GARCH Parameter Distribution Class
ugarchdistribution-methodsfunction: Univariate GARCH Parameter Distribution via...
uGARCHfilter-classclass: Univariate GARCH Filter Class
ugarchfilter-methodsfunction: Univariate GARCH Filtering
uGARCHfit-classclass: Univariate GARCH Fit Class
ugarchfit-methodsfunction: Univariate GARCH Fitting
uGARCHforecast-classclass: Univariate GARCH Forecast Class
ugarchforecast-methodsfunction: Univariate GARCH Forecasting
uGARCHmultifilter-classclass: Univariate GARCH Multiple Filter Class
uGARCHmultifit-classclass: Univariate GARCH Multiple Fit Class
uGARCHmultiforecast-classclass: Univariate GARCH Multiple Forecast Class
uGARCHmultispec-classclass: Univariate GARCH Multiple Specification Class
uGARCHpath-classclass: Univariate GARCH Path Simulation Class
ugarchpath-methodsfunction: Univariate GARCH Path Simulation
uGARCHroll-classclass: Univariate GARCH Rolling Forecast Class
ugarchroll-methodsfunction: Univariate GARCH Rolling Density Forecast and...
uGARCHsim-classclass: Univariate GARCH Simulation Class
ugarchsim-methodsfunction: Univariate GARCH Simulation
uGARCHspec-classclass: Univariate GARCH Specification Class
ugarchspec-methodsfunction: Univariate GARCH Specification
VaRDurTestVaR Duration Test
VaRlossValue at Risk loss function of Gonzalez-Rivera, Lee, and...
VaRplotValue at Risk Exceedances plot
VaRTestValue at Risk Exceedances Test
rugarch documentation built on Sept. 30, 2024, 9:30 a.m.