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

Functions

ARFIMA-class Man page
arfimadistribution Man page
arfimadistribution,ANY-method Man page
arfimadistribution,ARFIMAfit-method Man page
arfimadistribution,ARFIMAspec-method Man page
ARFIMAdistribution-class Man page
arfimadistribution-methods Man page
arfimafilter Man page
arfimafilter,ANY-method Man page
arfimafilter,ARFIMAspec-method Man page
ARFIMAfilter-class Man page
arfimafilter-methods Man page
arfimafit Man page
arfimafit,ANY-method Man page
arfimafit,ARFIMAspec-method Man page
ARFIMAfit-class Man page
arfimafit-methods Man page
arfimaforecast Man page
arfimaforecast,ANY-method Man page
arfimaforecast,ARFIMAfit-method Man page
arfimaforecast,ARFIMAspec-method Man page
ARFIMAforecast-class Man page
arfimaforecast-methods Man page
ARFIMAfpm-class Man page
ARFIMAmultifilter-class Man page
ARFIMAmultifit-class Man page
ARFIMAmultiforecast-class Man page
ARFIMAmultispec-class Man page
arfimapath Man page
arfimapath,ANY-method Man page
arfimapath,ARFIMAspec-method Man page
ARFIMApath-class Man page
arfimapath-methods Man page
arfimaroll Man page
arfimaroll,ANY-method Man page
arfimaroll,ARFIMAspec-method Man page
ARFIMAroll-class Man page
arfimaroll-methods Man page
arfimasim Man page
arfimasim,ANY-method Man page
arfimasim,ARFIMAfit-method Man page
ARFIMAsim-class Man page
arfimasim-methods Man page
arfimaspec Man page
arfimaspec,ANY-method Man page
ARFIMAspec-class Man page
arfimaspec-methods Man page
as.ARFIMAforecast Man page
as.ARFIMAforecast,ANY-method Man page
as.ARFIMAforecast,ARFIMAroll-method Man page
as.array,ARFIMAforecast-method Man page
as.array,ARFIMAmultiforecast-method Man page
as.array,uGARCHforecast-method Man page
as.array,uGARCHmultiforecast-method Man page
as.data.frame,ARFIMAdistribution-method Man page
as.data.frame,ARFIMAfilter-method Man page
as.data.frame,ARFIMAfit-method Man page
as.data.frame,ARFIMAforecast-method Man page
as.data.frame,ARFIMAfpm-method Man page
as.data.frame,ARFIMApath-method Man page
as.data.frame,ARFIMAroll-method Man page
as.data.frame,ARFIMAsim-method Man page
as.data.frame,goGARCHfilter-method Man page
as.data.frame,goGARCHfit-method Man page
as.data.frame,uGARCHboot-method Man page
as.data.frame,uGARCHdistribution-method Man page
as.data.frame,uGARCHfilter-method Man page
as.data.frame,uGARCHfit-method Man page
as.data.frame,uGARCHforecast-method Man page
as.data.frame,uGARCHfpm-method Man page
as.data.frame,uGARCHpath-method Man page
as.data.frame,uGARCHroll-method Man page
as.data.frame,uGARCHsim-method Man page
as.list,ARFIMAforecast-method Man page
as.list,ARFIMAmultiforecast-method Man page
as.list,uGARCHmultiforecast-method Man page
as.uGARCHforecast Man page
as.uGARCHforecast,ANY-method Man page
as.uGARCHforecast,uGARCHroll-method Man page
BerkowitzLR Man page
cgarchfilter Man page
cgarchfilter,ANY-method Man page
cgarchfilter,cGARCHspec-method Man page
cGARCHfilter-class Man page
cgarchfit Man page
cgarchfit,ANY-method Man page
cgarchfit,cGARCHspec-method Man page
cGARCHfit-class Man page
cgarchsim Man page
cgarchsim,ANY-method Man page
cgarchsim,cGARCHfit-method Man page
cGARCHsim-class Man page
cgarchspec Man page
cgarchspec,ANY-method Man page
cGARCHspec-class Man page
cgarchspec,uGARCHmultispec-method Man page
coef,ARFIMAfilter-method Man page
coef,ARFIMAfit-method Man page
coef,ARFIMAmultifilter-method Man page
coef,ARFIMAmultifit-method Man page
coef,cGARCHfilter-method Man page
coef,cGARCHfit-method Man page
coef,DCCfilter-method Man page
coef,DCCfit-method Man page
coef,DCCroll-method Man page
coef,goGARCHfilter-method Man page
coef,goGARCHfit-method Man page
coef,uGARCHfilter-method Man page
coef,uGARCHfit-method Man page
coef,uGARCHmultifilter-method Man page
coef,uGARCHmultifit-method Man page
convolution Man page
convolution,goGARCHfilter-method Man page
convolution,goGARCHfit-method Man page
convolution,goGARCHforecast-method Man page
convolution,goGARCHroll-method Man page
convolution,goGARCHsim-method Man page
DACTest Man page
dccfilter Man page
dccfilter,ANY-method Man page
DCCfilter-class Man page
dccfilter,DCCspec-method Man page
dccfit Man page
dccfit,ANY-method Man page
DCCfit-class Man page
dccfit,DCCspec-method Man page
dccforecast Man page
dccforecast,ANY-method Man page
DCCforecast-class Man page
dccforecast,DCCfit-method Man page
dccroll Man page
dccroll,ANY-method Man page
DCCroll-class Man page
dccroll,DCCspec-method Man page
dccsim Man page
dccsim,ANY-method Man page
DCCsim-class Man page
dccsim,DCCfit-method Man page
dccsim,DCCspec-method Man page
dccspec Man page
dccspec,ANY-method Man page
DCCspec-class Man page
dccspec,uGARCHmultispec-method Man page
ddist Man page
dfft Man page
dfft,goGARCHfft-method Man page
dji30ret Man page
dkurtosis Man page
dmbp Man page
dskewness Man page
first Man page
first,ANY-method Man page
first,array-method Man page
first-methods Man page
fitdist Man page
fitted,ARFIMAfilter-method Man page
fitted,ARFIMAfit-method Man page
fitted,ARFIMAmultifilter-method Man page
fitted,ARFIMAmultifit-method Man page
fitted,cGARCHfilter-method Man page
fitted,cGARCHfit-method Man page
fitted,cGARCHsim-method Man page
fitted,DCCfilter-method Man page
fitted,DCCfit-method Man page
fitted,DCCforecast-method Man page
fitted,DCCroll-method Man page
fitted,DCCsim-method Man page
fitted,goGARCHfilter-method Man page
fitted,goGARCHfit-method Man page
fitted,uGARCHfilter-method Man page
fitted,uGARCHfit-method Man page
fitted,uGARCHmultifilter-method Man page
fitted,uGARCHmultifit-method Man page
ForwardDates Man page
ForwardDates,ANY-method Man page
ForwardDates,character-method Man page
ForwardDates-method Man page
fpm Man page
fpm,ANY-method Man page
fpm,ARFIMAforecast-method Man page
fpm-methods Man page
fpm,uGARCHforecast-method Man page
GARCHboot-class Man page
GARCHdistribution-class Man page
GARCHfilter-class Man page
GARCHfit-class Man page
GARCHforecast-class Man page
GARCHpath-class Man page
GARCHroll-class Man page
GARCHsim-class Man page
GARCHspec-class Man page
GARCHtests-class Man page
getspec Man page
getspec,ANY-method Man page
getspec,ARFIMAfit-method Man page
getspec,uGARCHfit-method Man page
ghyptransform Man page
gof Man page
gof,ANY,ANY-method Man page
gof,uGARCHfilter,numeric-method Man page
gof,uGARCHfit,numeric-method Man page
goGARCHfft-class Man page
gogarchfilter Man page
gogarchfilter,ANY-method Man page
goGARCHfilter-class Man page
gogarchfilter,goGARCHfit-method Man page
gogarchfit Man page
gogarchfit,ANY-method Man page
goGARCHfit-class Man page
gogarchfit,goGARCHspec-method Man page
gogarchforecast Man page
gogarchforecast,ANY-method Man page
goGARCHforecast-class Man page
gogarchforecast,goGARCHfit-method Man page
gogarchforecast-methods Man page
gogarchroll Man page
gogarchroll,ANY-method Man page
goGARCHroll-class Man page
gogarchroll,goGARCHspec-method Man page
gogarchsim Man page
gogarchsim,ANY-method Man page
goGARCHsim-class Man page
gogarchsim,goGARCHfit-method Man page
gogarchspec Man page
gogarchspec,ANY-method Man page
goGARCHspec-class Man page
gogarchspec-methods Man page
gportmoments Man page
gportmoments,goGARCHfilter-method Man page
gportmoments,goGARCHfit-method Man page
gportmoments,goGARCHforecast-method Man page
gportmoments,goGARCHsim-method Man page
halflife Man page
halflife,ANY,ANY,ANY,ANY,ANY-method Man page
halflife,missing,numeric,character,character,ANY-method Man page
halflife,uGARCHfilter,missing,missing,missing,missing-method Man page
halflife,uGARCHfit,missing,missing,missing,missing-method Man page
infocriteria Man page
infocriteria,ANY-method Man page
infocriteria,ARFIMAfilter-method Man page
infocriteria,ARFIMAfit-method Man page
infocriteria,DCCfilter-method Man page
infocriteria,DCCfit-method Man page
infocriteria,uGARCHfilter-method Man page
infocriteria,uGARCHfit-method Man page
last Man page
last,ANY-method Man page
last,array-method Man page
last-methods Man page
likelihood Man page
likelihood,ANY-method Man page
likelihood,ARFIMAfilter-method Man page
likelihood,ARFIMAfit-method Man page
likelihood,ARFIMAmultifilter-method Man page
likelihood,ARFIMAmultifit-method Man page
likelihood,cGARCHfilter-method Man page
likelihood,cGARCHfit-method Man page
likelihood,DCCfilter-method Man page
likelihood,DCCfit-method Man page
likelihood,DCCroll-method Man page
likelihood,goGARCHfilter-method Man page
likelihood,goGARCHfit-method Man page
likelihood,uGARCHfilter-method Man page
likelihood,uGARCHfit-method Man page
likelihood,uGARCHmultifilter-method Man page
likelihood,uGARCHmultifit-method Man page
mGARCHfilter-class Man page
mGARCHfit-class Man page
mGARCHforecast-class Man page
mGARCHroll-class Man page
mGARCHsim-class Man page
mGARCHspec-class Man page
multifilter Man page
multifilter,ANY-method Man page
multifilter,ARFIMAmultifit-method Man page
multifilter,ARFIMAmultispec-method Man page
multifilter-methods Man page
multifilter,uGARCHmultifit-method Man page
multifilter,uGARCHmultispec-method Man page
multifit Man page
multifit,ANY-method Man page
multifit,ARFIMAmultispec-method Man page
multifit-methods Man page
multifit,uGARCHmultispec-method Man page
multiforecast Man page
multiforecast,ANY-method Man page
multiforecast,ARFIMAmultifit-method Man page
multiforecast,ARFIMAmultispec-method Man page
multiforecast-methods Man page
multiforecast,uGARCHmultifit-method Man page
multiforecast,uGARCHmultispec-method Man page
multispec Man page
multispec,ANY-method Man page
multispec-methods Man page
multispec,vector-method Man page
newsimpact Man page
newsimpact,ANY-method Man page
newsimpact,uGARCHfilter-method Man page
newsimpact,uGARCHfit-method Man page
nigtransform Man page
nisurface Man page
nisurface,goGARCHfit-method Man page
nportmoments Man page
nportmoments,goGARCHfft-method Man page
nyblom Man page
nyblom,ANY-method Man page
nyblom,uGARCHfit-method Man page
pdist Man page
persistence Man page
persistence,ANY,ANY,ANY,ANY,ANY-method Man page
persistence,missing,numeric,character,character,ANY-method Man page
persistence,uGARCHfilter,missing,missing,missing,missing-method Man page
persistence,uGARCHfit,missing,missing,missing,missing-method Man page
pfft Man page
pfft,goGARCHfft-method Man page
plot,DCCfilter,missing-method Man page
plot,DCCfit,missing-method Man page
plot,DCCforecast,missing-method Man page
plot,DCCroll,missing-method Man page
plot,uGARCHboot,missing-method Man page
plot,uGARCHdistribution,missing-method Man page
plot,uGARCHfilter,missing-method Man page
plot,uGARCHfit,missing-method Man page
plot,uGARCHforecast,missing-method Man page
plot,uGARCHpath,missing-method Man page
plot,uGARCHroll,missing-method Man page
plot,uGARCHsim,missing-method Man page
qdist Man page
qfft Man page
qfft,goGARCHfft-method Man page
rcokurt Man page
rcokurt,goGARCHfilter-method Man page
rcokurt,goGARCHfit-method Man page
rcokurt,goGARCHforecast-method Man page
rcokurt,goGARCHsim-method Man page
rcor Man page
rcor,cGARCHfilter-method Man page
rcor,cGARCHfit-method Man page
rcor,cGARCHsim-method Man page
rcor,DCCfilter-method Man page
rcor,DCCfit-method Man page
rcor,DCCforecast-method Man page
rcor,DCCroll-method Man page
rcor,DCCsim-method Man page
rcor,goGARCHfilter-method Man page
rcor,goGARCHfit-method Man page
rcor,goGARCHforecast-method Man page
rcor,goGARCHroll-method Man page
rcor,goGARCHsim-method Man page
rcoskew Man page
rcoskew,goGARCHfilter-method Man page
rcoskew,goGARCHfit-method Man page
rcoskew,goGARCHforecast-method Man page
rcoskew,goGARCHsim-method Man page
rcov Man page
rcov,cGARCHfilter-method Man page
rcov,cGARCHfit-method Man page
rcov,cGARCHsim-method Man page
rcov,DCCfilter-method Man page
rcov,DCCfit-method Man page
rcov,DCCforecast-method Man page
rcov,DCCroll-method Man page
rcov,DCCsim-method Man page
rcov,goGARCHfilter-method Man page
rcov,goGARCHfit-method Man page
rcov,goGARCHforecast-method Man page
rcov,goGARCHroll-method Man page
rcov,goGARCHsim-method Man page
rdist Man page
report Man page
report,ANY-method Man page
report,ARFIMAroll-method Man page
report,uGARCHroll-method Man page
residuals,ARFIMAfilter-method Man page
residuals,ARFIMAfit-method Man page
residuals,ARFIMAmultifilter-method Man page
residuals,ARFIMAmultifit-method Man page
residuals,cGARCHfilter-method Man page
residuals,cGARCHfit-method Man page
residuals,goGARCHfilter-method Man page
residuals,goGARCHfit-method Man page
residuals,uGARCHfilter-method Man page
residuals,uGARCHfit-method Man page
residuals,uGARCHmultifilter-method Man page
residuals,uGARCHmultifit-method Man page
rgarch Man page
rGARCH-class Man page
rgarchdist Man page
rgarch-package Man page
rshape Man page
rshape,DCCfilter-method Man page
rshape,DCCfit-method Man page
rshape,DCCforecast-method Man page
rshape,DCCroll-method Man page
rskew Man page
rskew,DCCfilter-method Man page
rskew,DCCfit-method Man page
rskew,DCCforecast-method Man page
rskew,DCCroll-method Man page
show,ARFIMAdistribution-method Man page
show,ARFIMAfilter-method Man page
show,ARFIMAfit-method Man page
show,ARFIMAforecast-method Man page
show,ARFIMAfpm-method Man page
show,ARFIMAmultifilter-method Man page
show,ARFIMAmultifit-method Man page
show,ARFIMAmultiforecast-method Man page
show,ARFIMAmultispec-method Man page
show,ARFIMApath-method Man page
show,ARFIMAsim-method Man page
show,ARFIMAspec-method Man page
show,cGARCHfilter-method Man page
show,cGARCHfit-method Man page
show,cGARCHsim-method Man page
show,cGARCHspec-method Man page
show,DCCfilter-method Man page
show,DCCfit-method Man page
show,DCCforecast-method Man page
show,DCCroll-method Man page
show,DCCsim-method Man page
show,DCCspec-method Man page
show,goGARCHfilter-method Man page
show,goGARCHfit-method Man page
show,goGARCHforecast-method Man page
show,goGARCHspec-method Man page
show,uGARCHboot-method Man page
show,uGARCHdistribution-method Man page
show,uGARCHfilter-method Man page
show,uGARCHfit-method Man page
show,uGARCHforecast-method Man page
show,uGARCHfpm-method Man page
show,uGARCHmultifilter-method Man page
show,uGARCHmultifit-method Man page
show,uGARCHmultiforecast-method Man page
show,uGARCHmultispec-method Man page
show,uGARCHpath-method Man page
show,uGARCHsim-method Man page
show,uGARCHspec-method Man page
sigma Man page
sigma,ANY-method Man page
sigma,cGARCHfilter-method Man page
sigma,cGARCHfit-method Man page
sigma,DCCfilter-method Man page
sigma,DCCfit-method Man page
sigma,DCCforecast-method Man page
sigma,DCCroll-method Man page
sigma,DCCsim-method Man page
sigma,uGARCHfilter-method Man page
sigma,uGARCHfit-method Man page
sigma,uGARCHmultifilter-method Man page
sigma,uGARCHmultifit-method Man page
signbias Man page
signbias,ANY-method Man page
signbias-methods Man page
signbias,uGARCHfilter-method Man page
signbias,uGARCHfit-method Man page
sp500ret Man page
ugarchbench Man page
ugarchboot Man page
ugarchboot,ANY-method Man page
uGARCHboot-class Man page
ugarchboot-methods Man page
ugarchboot,uGARCHfit-method Man page
ugarchboot,uGARCHspec-method Man page
ugarchdistribution Man page
ugarchdistribution,ANY-method Man page
uGARCHdistribution-class Man page
ugarchdistribution-methods Man page
ugarchdistribution,uGARCHfit-method Man page
ugarchdistribution,uGARCHspec-method Man page
ugarchfilter Man page
ugarchfilter,ANY-method Man page
ugarchfilter,apARCHspec-method Man page
uGARCHfilter-class Man page
ugarchfilter,eGARCHspec-method Man page
ugarchfilter,fGARCHspec-method Man page
ugarchfilter,gjrGARCHspec-method Man page
ugarchfilter,iGARCHspec-method Man page
ugarchfilter-methods Man page
ugarchfilter,sGARCHspec-method Man page
ugarchfit Man page
ugarchfit,ANY-method Man page
ugarchfit,apARCHspec-method Man page
uGARCHfit-class Man page
ugarchfit,eGARCHspec-method Man page
ugarchfit,fGARCHspec-method Man page
ugarchfit,gjrGARCHspec-method Man page
ugarchfit,iGARCHspec-method Man page
ugarchfit-methods Man page
ugarchfit,sGARCHspec-method Man page
ugarchforecast Man page
ugarchforecast,ANY-method Man page
ugarchforecast,apARCHfit-method Man page
ugarchforecast,apARCHspec-method Man page
uGARCHforecast-class Man page
ugarchforecast,eGARCHfit-method Man page
ugarchforecast,eGARCHspec-method Man page
ugarchforecast,fGARCHfit-method Man page
ugarchforecast,fGARCHspec-method Man page
ugarchforecast,gjrGARCHfit-method Man page
ugarchforecast,gjrGARCHspec-method Man page
ugarchforecast,iGARCHfit-method Man page
ugarchforecast,iGARCHspec-method Man page
ugarchforecast-methods Man page
ugarchforecast,sGARCHfit-method Man page
ugarchforecast,sGARCHspec-method Man page
uGARCHfpm-class Man page
uGARCHmultifilter-class Man page
uGARCHmultifit-class Man page
uGARCHmultiforecast-class Man page
uGARCHmultispec-class Man page
ugarchpath Man page
ugarchpath,ANY-method Man page
ugarchpath,apARCHspec-method Man page
uGARCHpath-class Man page
ugarchpath,eGARCHspec-method Man page
ugarchpath,fGARCHspec-method Man page
ugarchpath,gjrGARCHspec-method Man page
ugarchpath,iGARCHspec-method Man page
ugarchpath-methods Man page
ugarchpath,sGARCHspec-method Man page
ugarchroll Man page
ugarchroll,ANY-method Man page
ugarchroll,apARCHspec-method Man page
uGARCHroll-class Man page
ugarchroll,eGARCHspec-method Man page
ugarchroll,fGARCHspec-method Man page
ugarchroll,gjrGARCHspec-method Man page
ugarchroll,iGARCHspec-method Man page
ugarchroll-methods Man page
ugarchroll,sGARCHspec-method Man page
ugarchsim Man page
ugarchsim,ANY-method Man page
ugarchsim,apARCHfit-method Man page
uGARCHsim-class Man page
ugarchsim,eGARCHfit-method Man page
ugarchsim,fGARCHfit-method Man page
ugarchsim,gjrGARCHfit-method Man page
ugarchsim,iGARCHfit-method Man page
ugarchsim-methods Man page
ugarchsim,sGARCHfit-method Man page
ugarchspec Man page
ugarchspec,ANY-method Man page
uGARCHspec-class Man page
ugarchspec-methods Man page
uncmean Man page
uncmean,ANY-method Man page
uncmean,ARFIMAfilter-method Man page
uncmean,ARFIMAfit-method Man page
uncmean,uGARCHfilter-method Man page
uncmean,uGARCHfit-method Man page
uncmean,uGARCHspec-method Man page
uncvar,ANY,ANY,ANY,ANY,ANY-method Man page
uncvariance Man page
uncvariance,missing,numeric,character,character,ANY-method Man page
uncvariance,uGARCHfilter,missing,missing,missing,missing-method Man page
uncvariance,uGARCHfit,missing,missing,missing,missing-method Man page
uncvariance,uGARCHspec-method Man page
uncvariance,uGARCHspec,missing,missing,missing,missing-method Man page
varxfilter Man page
WeekDayDummy Man page
WeekDayDummy,ANY-method Man page
WeekDayDummy,character-method Man page
WeekDayDummy-methods Man page

Files

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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