rgarch: Flexible GARCH modelling in R

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

AuthorAlexios Ghalanos <alexios@4dscape.com>
Date of publicationNone
MaintainerAlexios Ghalanos <alexios@4dscape.com>
LicenseGPL-3
Version1.93

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

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