rmgarch-package: The rmgarch package

Description Details How to cite this package License Author(s) References


The rmgarch provides a selection of multivariate GARCH models with methods for fitting, filtering, forecasting and simulation with additional support functions for working with the returned objects. At present, the Generalized Orthogonal GARCH using Independent Components Analysis (ICA) and Dynamic Conditional Correlation (with multivariate Normal, Laplace and Student distributions) models are fully implemented, with methods for spec, fit, filter, forecast, simulation, and rolling estimation and forecasting, as well as specialized functions to calculate and work with the weighted portfolio conditional density. The Copula-GARCH model is also implemented with the multivariate Normal and Student distributions, with dynamic (DCC) and static estimation of the correlation.


Package: rmgarch
Type: Package
Version: 1.2-6
Date: 2014-01-26
License: GPL
LazyLoad: yes
Depends: R (>= 3.0.2), methods, rugarch
LinkingTo: Rcpp, RcppArmadillo
Imports: Rsolnp, MASS, parallel, Matrix, zoo, xts, Bessel, ff, fftw, shape, Kendall, spd, Rcpp

The main package functionality, currently supports the GO-GARCH with ICA method, and is available through the gogarchspec, gogarchfit, gogarchfilter, gogarchforecast, gogarchsim and gogarchroll functions. The DCC with multivariate Normal, Laplace and Student distributions is also supported with the main functionality in dccspec, dccfit, dccfilter, dccforecast, dccsim and dccroll. The Normal and Student Copula-GARCH, with dynamic or static correlation, is implemented with the main functionality in cgarchspec, cgarchfit, cgarchfilter, and cgarchsim. Usual extractor and support methods for the multivariate GARCH models are documented in the class of the returned objects.

How to cite this package

Whenever using this package, please cite as

 author       = {Alexios Ghalanos},
 title        = {{rmgarch}: Multivariate GARCH models.},
 year         = {2014},
 note 	      = {R package version 1.2-6.}}


The releases of this package is licensed under GPL version 3.


Alexios Ghalanos


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Ghalanos, A., Rossi, E., and Urga, G. (2013). Independent Factor Autoregressive Conditional Density Model, forthcoming.
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rmgarch documentation built on May 31, 2017, 4:21 a.m.