rgarch: Flexible GARCH modelling in R

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

Author
Alexios Ghalanos <alexios@4dscape.com>
Date of publication
None
Maintainer
Alexios Ghalanos <alexios@4dscape.com>
License
GPL-3
Version
1.93

View on R-Forge

Man pages

ARFIMA-class
class: High Level ARFIMA class
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
ARFIMAfpm-class
class: ARFIMA Forecast Performance Measures
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
BerkowitzLR
Berkowitz Density Forecast Likelihood Ratio Test
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
DACTest
Directional Accuracy Test
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
dji30ret
data: Dow Jones 30 Constituents Closing Value Log Return
dmbp
data: Deutschemark/British pound Exchange Rate
ForwardDates-methods
function: Generate Future Dates
fpm-methods
function: Univariate GARCH and ARFIMA Forecast Performance...
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...
goGARCHfft-class
Class: GO-GARCH portfolio density
goGARCHfilter-class
class: GO-GARCH Filter Class
gogarchfilter-methods
function: GO-GARCH Fitting
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
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
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
nigtransform
Distribution: Normal Inverse Gaussian Transformation and...
rGARCH-class
class: rGARCH Class
rgarch-package
The rgarch package
sp500ret
data: Standard and Poors 500 Closing Value Log Return
ugarchbench
Benchmark: The Benchmark Test Suite
uGARCHboot-class
class: Univariate GARCH Bootstrap Class
ugarchboot-methods
function: Univariate GARCH Forecast via Bootstrap
ugarchdist
Distribution: rgarch 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
uGARCHfpm-class
class: Univatiate GARCH Forecast Performance Measures
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
varxfilter
VARX Fit/Filter Function
WeekDayDummy-methods
function: Create Dummy Day-of-Week Variable

Files in this package

rgarch
rgarch/data
rgarch/data/dji30ret.rda
rgarch/data/dmbp.rda
rgarch/data/sp500ret.rda
rgarch/R
rgarch/R/rgarch-aparch.R
rgarch/R/arfima-multi.R
rgarch/R/rgarch-startpars.R
rgarch/R/copula-methods.R
rgarch/R/arfima-main.R
rgarch/R/rgarch-uncertainty.R
rgarch/R/rgarch-multi.R
rgarch/R/rgarch-igarch.R
rgarch/R/copula-likelihoods.R
rgarch/R/gogarch-ica.R
rgarch/R/rgarch-riskreporting.R
rgarch/R/rgarch-distributions.R
rgarch/R/rdcc-series.R
rgarch/R/rgarch-numderiv.R
rgarch/R/rgarch-meanres.R
rgarch/R/rdcc-methods.R
rgarch/R/rdcc-postestimation.R
rgarch/R/copula-distributions.R
rgarch/R/copula-fn.R
rgarch/R/rgarch-methods.R
rgarch/R/gogarch-classes.R
rgarch/R/arfima-classes.R
rgarch/R/rgarch-armafor.R
rgarch/R/rgarch-bootstrap.R
rgarch/R/rgarch-gjrgarch.R
rgarch/R/copula-classes.R
rgarch/R/rgarch-cwrappers.R
rgarch/R/arfima-methods.R
rgarch/R/gogarch-fit.R
rgarch/R/gogarch-main.R
rgarch/R/copula-garch.R
rgarch/R/rgarch-series.R
rgarch/R/gogarch-distributions.R
rgarch/R/rgarch-rolling.R
rgarch/R/zzz.R
rgarch/R/rdcc-likelihoods.R
rgarch/R/copula-startpars.R
rgarch/R/rgarch-solvers.R
rgarch/R/copula-transformations.R
rgarch/R/rdcc-dcc.R
rgarch/R/rgarch-var.R
rgarch/R/africa-import.R
rgarch/R/rgarch-benchmarks.R
rgarch/R/rdcc-mdistributions.R
rgarch/R/rgarch-graphs.R
rgarch/R/rgarch-tests.R
rgarch/R/rgarch-kappa.R
rgarch/R/rdcc-classes.R
rgarch/R/copula-solver.R
rgarch/R/rgarch-imports.R
rgarch/R/rgarch-plots.R
rgarch/R/rdcc-solver.R
rgarch/R/rgarch-classes.R
rgarch/R/rgarch-egarch.R
rgarch/R/rgarch-misc.R
rgarch/R/rdcc-plots.R
rgarch/R/rdcc-startpars.R
rgarch/R/rgarch-fgarch.R
rgarch/R/gogarch-methods.R
rgarch/R/rgarch-sgarch.R
rgarch/NAMESPACE
rgarch/COPYRIGHTS
rgarch/inst
rgarch/inst/CITATION
rgarch/TODO
rgarch/DESCRIPTION
rgarch/.project
rgarch/ChangeLog
rgarch/man
rgarch/man/dmbp.Rd
rgarch/man/cgarchfit-methods.Rd
rgarch/man/multifilter-methods.Rd
rgarch/man/multifit-methods.Rd
rgarch/man/cGARCHfilter-class.Rd
rgarch/man/dccfit-methods.Rd
rgarch/man/ARFIMAspec-class.Rd
rgarch/man/DCCfit-class.Rd
rgarch/man/uGARCHfpm-class.Rd
rgarch/man/uGARCHmultispec-class.Rd
rgarch/man/arfimafit-methods.Rd
rgarch/man/ugarchforecast-methods.Rd
rgarch/man/gogarchspec-methods.Rd
rgarch/man/ARFIMApath-class.Rd
rgarch/man/ARFIMAdistribution-class.Rd
rgarch/man/ugarchdist.Rd
rgarch/man/gogarchforecast-methods.Rd
rgarch/man/multiforecast-methods.Rd
rgarch/man/ugarchbench.Rd
rgarch/man/arfimadistribution-methods.Rd
rgarch/man/dccroll-methods.Rd
rgarch/man/arfimaroll-methods.Rd
rgarch/man/rGARCH-class.Rd
rgarch/man/uGARCHforecast-class.Rd
rgarch/man/WeekDayDummy-methods.Rd
rgarch/man/dccforecast-methods.Rd
rgarch/man/ugarchfilter-methods.Rd
rgarch/man/dccfilter-methods.Rd
rgarch/man/fpm-methods.Rd
rgarch/man/goGARCHfit-class.Rd
rgarch/man/ugarchdistribution-methods.Rd
rgarch/man/uGARCHmultiforecast-class.Rd
rgarch/man/DCCforecast-class.Rd
rgarch/man/arfimapath-methods.Rd
rgarch/man/cgarchsim-methods.Rd
rgarch/man/sp500ret.Rd
rgarch/man/ARFIMAfilter-class.Rd
rgarch/man/mGARCHsim-class.Rd
rgarch/man/DCCsim-class.Rd
rgarch/man/GARCHboot-class.Rd
rgarch/man/ARFIMAroll-class.Rd
rgarch/man/last-methods.Rd
rgarch/man/ARFIMAmultiforecast-class.Rd
rgarch/man/mGARCHroll-class.Rd
rgarch/man/varxfilter.Rd
rgarch/man/uGARCHmultifit-class.Rd
rgarch/man/ugarchroll-methods.Rd
rgarch/man/uGARCHmultifilter-class.Rd
rgarch/man/goGARCHspec-class.Rd
rgarch/man/gogarchfit-methods.Rd
rgarch/man/uGARCHroll-class.Rd
rgarch/man/ugarchfit-methods.Rd
rgarch/man/uGARCHsim-class.Rd
rgarch/man/DACTest.Rd
rgarch/man/GARCHroll-class.Rd
rgarch/man/mGARCHfit-class.Rd
rgarch/man/ARFIMAfpm-class.Rd
rgarch/man/uGARCHboot-class.Rd
rgarch/man/goGARCHfft-class.Rd
rgarch/man/DCCspec-class.Rd
rgarch/man/mGARCHspec-class.Rd
rgarch/man/arfimaspec-methods.Rd
rgarch/man/dccsim-methods.Rd
rgarch/man/GARCHfit-class.Rd
rgarch/man/arfimaforecast-methods.Rd
rgarch/man/cGARCHspec-class.Rd
rgarch/man/ugarchboot-methods.Rd
rgarch/man/mGARCHforecast-class.Rd
rgarch/man/goGARCHsim-class.Rd
rgarch/man/GARCHfilter-class.Rd
rgarch/man/cgarchspec-methods.Rd
rgarch/man/gogarchfilter-methods.Rd
rgarch/man/ghyptransform.Rd
rgarch/man/ARFIMAmultispec-class.Rd
rgarch/man/goGARCHforecast-class.Rd
rgarch/man/uGARCHfit-class.Rd
rgarch/man/ugarchsim-methods.Rd
rgarch/man/GARCHforecast-class.Rd
rgarch/man/ARFIMAmultifilter-class.Rd
rgarch/man/multispec-methods.Rd
rgarch/man/arfimasim-methods.Rd
rgarch/man/cGARCHfit-class.Rd
rgarch/man/GARCHsim-class.Rd
rgarch/man/goGARCHfilter-class.Rd
rgarch/man/ForwardDates-methods.Rd
rgarch/man/uGARCHfilter-class.Rd
rgarch/man/rgarch-package.Rd
rgarch/man/mGARCHfilter-class.Rd
rgarch/man/ARFIMA-class.Rd
rgarch/man/ARFIMAmultifit-class.Rd
rgarch/man/dji30ret.Rd
rgarch/man/GARCHdistribution-class.Rd
rgarch/man/cGARCHsim-class.Rd
rgarch/man/ugarchpath-methods.Rd
rgarch/man/BerkowitzLR.Rd
rgarch/man/DCCfilter-class.Rd
rgarch/man/gogarchroll-methods.Rd
rgarch/man/uGARCHspec-class.Rd
rgarch/man/ARFIMAfit-class.Rd
rgarch/man/arfimafilter-methods.Rd
rgarch/man/DCCroll-class.Rd
rgarch/man/GARCHspec-class.Rd
rgarch/man/gogarchsim-methods.Rd
rgarch/man/goGARCHroll-class.Rd
rgarch/man/ARFIMAforecast-class.Rd
rgarch/man/GARCHtests-class.Rd
rgarch/man/uGARCHpath-class.Rd
rgarch/man/GARCHpath-class.Rd
rgarch/man/uGARCHdistribution-class.Rd
rgarch/man/ugarchspec-methods.Rd
rgarch/man/cgarchfilter-methods.Rd
rgarch/man/nigtransform.Rd
rgarch/man/ARFIMAsim-class.Rd
rgarch/man/dccspec-methods.Rd
rgarch/src
rgarch/src/rdcc.cpp
rgarch/src/gig.c
rgarch/src/distributions.h
rgarch/src/nig.c
rgarch/src/filters.c
rgarch/src/gig.h
rgarch/src/egarch.c
rgarch/src/aparch.c
rgarch/src/garchsim.h
rgarch/src/copulas.cpp
rgarch/src/distributions.c
rgarch/src/filters.h
rgarch/src/Makevars
rgarch/src/copulas.h
rgarch/src/arfimaxfilter.c
rgarch/src/fracimport.f
rgarch/src/rgarch.h
rgarch/src/fracdiff.c
rgarch/src/nig.h
rgarch/src/arfima.c
rgarch/src/Makevars.win
rgarch/src/sgarch.c
rgarch/src/fgarch.c
rgarch/src/gjrgarch.c
rgarch/src/garchsim.cpp
rgarch/src/fracdiff.h
rgarch/src/rdcc.h
rgarch/COPYING