rmgarch: Multivariate GARCH models

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

AuthorAlexios Ghalanos <alexios@4dscape.com>
Date of publication2014-03-15 06:55:20
MaintainerAlexios Ghalanos <alexios@4dscape.com>
LicenseGPL-3
Version1.2-8
http://www.unstarched.net, https://r-forge.r-project.org/projects/teatime/

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Man pages

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

cordist: A Correlation Distance Measure

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

DCCtest: Engle and Sheppard Test of Dynamic Correlation

dji30retw: data: Dow Jones 30 Constituents Closing Value log Weekly...

fastica: Fast Fixed Point ICA

fMoments-class: Class '"fMoments"'

fmoments-methods: Moment Based Forecast Generation

fScenario-class: Class '"fScenario"'

fscenario-methods: Scenario Generation

goGARCHfft-class: Class: GO-GARCH portfolio density

goGARCHfilter-class: class: GO-GARCH Filter Class

gogarchfilter-methods: function: GO-GARCH Filter

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

goload-methods: Load Scenario from File

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

radical: The Robust Accurate, Direct ICA aLgorithm (RADICAL).

rmgarch-package: The rmgarch package

varxfit: VARX Fit/Filter/Forecast/Simulation Functions

wmargin: Weighted Distribution Margin

Files in this package

rmgarch/.Rinstignore
rmgarch/ChangeLog
rmgarch/DESCRIPTION
rmgarch/NAMESPACE
rmgarch/R
rmgarch/R/copula-classes.R rmgarch/R/copula-distributions.R rmgarch/R/copula-fn.R rmgarch/R/copula-likelihoods.R rmgarch/R/copula-main.R rmgarch/R/copula-methods.R rmgarch/R/copula-postestimation.R rmgarch/R/copula-solver.R rmgarch/R/copula-transformations.R rmgarch/R/fdcc-likelihoods.R rmgarch/R/fdcc-main.R rmgarch/R/gogarch-classes.R rmgarch/R/gogarch-distributions.R rmgarch/R/gogarch-main.R rmgarch/R/gogarch-methods.R rmgarch/R/rdcc-classes.R rmgarch/R/rdcc-likelihoods.R rmgarch/R/rdcc-main.R rmgarch/R/rdcc-mdistributions.R rmgarch/R/rdcc-methods.R rmgarch/R/rdcc-plots.R rmgarch/R/rdcc-postestimation.R rmgarch/R/rdcc-solver.R rmgarch/R/rmgarch-classes.R rmgarch/R/rmgarch-functions.R
rmgarch/R/rmgarch-ica.R
rmgarch/R/rmgarch-mmean.R rmgarch/R/rmgarch-scenario.R rmgarch/R/rmgarch-series.R rmgarch/R/rmgarch-tests.R rmgarch/R/rmgarch-var.R rmgarch/R/zzz.R
rmgarch/TODO
rmgarch/build
rmgarch/build/vignette.rds
rmgarch/data
rmgarch/data/dji30retw.rda
rmgarch/inst
rmgarch/inst/CITATION
rmgarch/inst/COPYRIGHTS
rmgarch/inst/doc
rmgarch/inst/doc/The_rmgarch_models.Rnw
rmgarch/inst/doc/The_rmgarch_models.pdf
rmgarch/inst/rmgarch.tests
rmgarch/inst/rmgarch.tests/rmgarch.test1.R
rmgarch/inst/rmgarch.tests/rmgarch.test2.R
rmgarch/inst/rmgarch.tests/rmgarch.test3.R
rmgarch/inst/rmgarch.tests/rmgarch.test4.R
rmgarch/inst/rmgarch.tests/rmgarch.test5.R
rmgarch/inst/rmgarch.tests/runtests.R
rmgarch/man
rmgarch/man/DCCfilter-class.Rd rmgarch/man/DCCfit-class.Rd rmgarch/man/DCCforecast-class.Rd rmgarch/man/DCCroll-class.Rd rmgarch/man/DCCsim-class.Rd rmgarch/man/DCCspec-class.Rd rmgarch/man/DCCtest.Rd rmgarch/man/cGARCHfilter-class.Rd rmgarch/man/cGARCHfit-class.Rd rmgarch/man/cGARCHsim-class.Rd rmgarch/man/cGARCHspec-class.Rd rmgarch/man/cgarchfilter-methods.Rd rmgarch/man/cgarchfit-methods.Rd rmgarch/man/cgarchsim-methods.Rd rmgarch/man/cgarchspec-methods.Rd rmgarch/man/cordist.Rd rmgarch/man/dccfilter-methods.Rd rmgarch/man/dccfit-methods.Rd rmgarch/man/dccforecast-methods.Rd rmgarch/man/dccroll-methods.Rd rmgarch/man/dccsim-methods.Rd rmgarch/man/dccspec-methods.Rd rmgarch/man/dji30retw.Rd rmgarch/man/fMoments-class.Rd rmgarch/man/fScenario-class.Rd rmgarch/man/fastica.Rd rmgarch/man/fmoments-methods.Rd rmgarch/man/fscenario-methods.Rd rmgarch/man/goGARCHfft-class.Rd rmgarch/man/goGARCHfilter-class.Rd rmgarch/man/goGARCHfit-class.Rd rmgarch/man/goGARCHforecast-class.Rd rmgarch/man/goGARCHroll-class.Rd rmgarch/man/goGARCHsim-class.Rd rmgarch/man/goGARCHspec-class.Rd rmgarch/man/gogarchfilter-methods.Rd rmgarch/man/gogarchfit-methods.Rd rmgarch/man/gogarchforecast-methods.Rd rmgarch/man/gogarchroll-methods.Rd rmgarch/man/gogarchsim-methods.Rd rmgarch/man/gogarchspec-methods.Rd rmgarch/man/goload-methods.Rd rmgarch/man/last-methods.Rd rmgarch/man/mGARCHfilter-class.Rd rmgarch/man/mGARCHfit-class.Rd rmgarch/man/mGARCHforecast-class.Rd rmgarch/man/mGARCHroll-class.Rd rmgarch/man/mGARCHsim-class.Rd rmgarch/man/mGARCHspec-class.Rd rmgarch/man/radical.Rd rmgarch/man/rmgarch-package.Rd rmgarch/man/varxfit.Rd rmgarch/man/wmargin.Rd
rmgarch/src
rmgarch/src/Makevars
rmgarch/src/Makevars.win
rmgarch/src/copulas.cpp
rmgarch/src/copulas.h
rmgarch/src/gogarch.cpp
rmgarch/src/gogarch.h
rmgarch/src/ica.cpp
rmgarch/src/ica.h
rmgarch/src/rdcc.cpp
rmgarch/src/rdcc.h
rmgarch/src/rmdist.cpp
rmgarch/src/rmdist.h
rmgarch/vignettes
rmgarch/vignettes/The_rmgarch_models.Rnw
rmgarch/vignettes/The_rmgarch_models.tex
rmgarch/vignettes/rmgarch1.tex
rmgarch/vignettes/rmgarchbib.bib

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

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