rugarch: Univariate GARCH models
Version 1.3-2

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

Browse man pages Browse package API and functions Browse package files

AuthorAlexios Ghalanos <alexios@4dscape.com>
Date of publication2014-03-17 01:46:48
MaintainerAlexios Ghalanos <alexios@4dscape.com>
LicenseGPL-3
Version1.3-2
URL http://www.unstarched.net https://r-forge.r-project.org/projects/teatime/
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("rugarch", repos="http://R-Forge.R-project.org")

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
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
autoarfima: Automatic Model Selection for ARFIMA models
BerkowitzTest: Berkowitz Density Forecast Likelihood Ratio Test
DACTest: Directional Accuracy Test
DateTimeUtilities: A small set of utilities to work with some time and date...
dji30ret: data: Dow Jones 30 Constituents Closing Value Log Return
dmbp: data: Deutschemark/British pound Exchange Rate
ESTest: Expected Shortfall Test.
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...
GMMTest: The GMM Orthogonality Test of Hansen
HLTest: The Non-Parametric Density Test of Hong and Li
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
rGARCH-class: class: rGARCH Class
rugarch-package: The rugarch package
sp500ret: data: Standard and Poors 500 Closing Value Log Return
spyreal: data: SPDR Standard and Poors 500 Open-Close Daily Return and...
ugarchbench: Benchmark: The Benchmark Test Suite
uGARCHboot-class: class: Univariate GARCH Bootstrap Class
ugarchboot-methods: function: Univariate GARCH Forecast via Bootstrap
ugarchdist: Distribution: rugarch 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
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
VaRDurTest: VaR Duration Test
VaRloss: Value at Risk loss function of Gonzalez-Rivera, Lee, and...
VaRplot: Value at Risk Exceedances plot
VaRTest: Value at Risk Exceedances Test

Functions

ARFIMA-class Man page
ARFIMAdistribution-class Man page
ARFIMAfilter-class Man page
ARFIMAfit-class Man page
ARFIMAforecast-class Man page
ARFIMAmultifilter-class Man page
ARFIMAmultifit-class Man page
ARFIMAmultiforecast-class Man page
ARFIMAmultispec-class Man page
ARFIMApath-class Man page
ARFIMAroll-class Man page
ARFIMAsim-class Man page
ARFIMAspec-class Man page
BerkowitzTest Man page Source code
BerkowitztLRtail Source code
CArrange Source code
DACTest Man page Source code
DistributionBounds Source code
ESTest Man page Source code
ForwardDates Source code
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
GMMTest Man page Source code
HLTest Man page Source code
Heaviside Source code
LR.cc.test Source code
Momstat Source code
R.cc Source code
R.uc Source code
Rcc1 Source code
VaRDurTest Man page Source code
VaRTest Man page Source code
VaRloss Man page Source code
VaRplot Man page Source code Source code
VaRreport Source code
WeekDayDummy Source code
Weighted.Box.test Source code
Weighted.LM.test Source code
abind Source code
absHmom Source code
afunE Source code
aparchKappa Source code
aparchLLH Source code
aparchcon Source code
aparchfilter Source code
aparchfit Source code
aparchforecast Source code
aparchforecast2 Source code
aparchni Source code
aparchpath Source code
aparchpath1 Source code
aparchpath2 Source code
aparchsim Source code
aparchsim1 Source code
aparchsim2 Source code
aparchstart Source code
archlmtest Source code
arfimaLLH Source code
arfimaLikelihood Source code
arfimabootdf Source code
arfimacoef Source code
arfimadistdf Source code
arfimadistribution Man page Source code Source code
arfimadistribution,ANY-method Man page
arfimadistribution,ARFIMAfit-method Man page
arfimadistribution,ARFIMAspec-method Man page
arfimadistribution-methods Man page
arfimaf Source code
arfimafilter Man page Source code Source code
arfimafilter,ANY-method Man page
arfimafilter,ARFIMAspec-method Man page
arfimafilter-methods Man page
arfimafit Man page Source code Source code
arfimafit,ANY-method Man page
arfimafit,ARFIMAspec-method Man page
arfimafit-methods Man page
arfimafitC Source code
arfimafitted Source code
arfimafittedmf Source code
arfimaforecast Man page Source code Source code
arfimaforecast,ANY-method Man page
arfimaforecast,ARFIMAfit-method Man page
arfimaforecast,ARFIMAspec-method Man page
arfimaforecast-methods Man page
arfimaforecast2 Source code
arfimainfocriteria Source code
arfimapath Man page Source code Source code
arfimapath,ANY-method Man page
arfimapath,ARFIMAspec-method Man page
arfimapath-methods Man page
arfimaresids Source code
arfimaroll Man page Source code Source code
arfimaroll,ANY-method Man page
arfimaroll,ARFIMAspec-method Man page
arfimaroll-methods Man page
arfimarolldf Source code
arfimarollreport Source code
arfimasim Man page Source code Source code
arfimasim,ANY-method Man page
arfimasim,ARFIMAfit-method Man page
arfimasim-methods Man page
arfimaspec Man page Source code
arfimaspec,ANY-method Man page
arfimaspec-methods Man page
arfimastart Source code
arfimaxfilter Source code
arfimaxsim Source code
arma2dplot Source code
armaf Source code
armaroots Source code
armaxsim Source code
as.data.frame,ARFIMAdistribution-method Man page
as.data.frame,ARFIMAroll-method Man page
as.data.frame,uGARCHboot-method Man page
as.data.frame,uGARCHdistribution-method Man page
as.data.frame,uGARCHroll-method Man page
autoarfima Man page Source code
autoarfima1 Source code
autoarfima2 Source code
backcastv Source code
bandwidth.nrd Source code
besselRatio Source code
bfit Source code
block_bootstrap Source code
bootstrap Source code
box.test Source code
boxcoxtransform Source code
bsample Source code
checkallfixed Source code
checkrec Source code
coef,ARFIMAfilter-method Man page
coef,ARFIMAfit-method Man page
coef,ARFIMAmultifilter-method Man page
coef,ARFIMAmultifit-method Man page
coef,ARFIMAroll-method Man page
coef,uGARCHfilter-method Man page
coef,uGARCHfit-method Man page
coef,uGARCHmultifilter-method Man page
coef,uGARCHmultifit-method Man page
coef,uGARCHroll-method Man page
colorgradient Source code
combn Source code
commbench Source code
convergence Man page Source code Source code
convergence,ANY-method Man page
convergence,ARFIMAfit-method Man page
convergence,uGARCHfit-method Man page
convergence,uGARCHroll-method Man page
convergenceroll Source code
csgarchLLH Source code
csgarchcon Source code
csgarchfilter Source code
csgarchfit Source code
csgarchforecast Source code
csgarchforecast2 Source code
csgarchpath Source code
csgarchpath1 Source code
csgarchpath2 Source code
csgarchsim Source code
csgarchsim1 Source code
csgarchsim2 Source code
csgarchstart Source code
custzdist Source code
daily2intraday Source code
ddist Man page Source code
deltaKappaGH Source code
densityoverlay Source code
densityoverlay2 Source code
dged Source code
dgh Source code
dgh_R Source code
dist2dplot Source code
distinctcolors11 Source code
distplot Man page Source code Source code
distributionstart Source code
diurnal_series Source code
diurnal_series_aligned Source code
divisortable Source code
dji30ret Man page
djsu Source code
dkurtosis Man page Source code Source code
dmbp Man page
dnig Source code
drapecol Source code
dsged Source code
dsgh Source code
dsghst Source code
dskewness Man page Source code Source code
dsnig Source code
dsnorm Source code
dsstd Source code
dstd Source code
dweibull Source code
efunE Source code
egarchKappa Source code
egarchLLH Source code
egarchcon Source code
egarchfilter Source code
egarchfit Source code
egarchforecast Source code
egarchforecast2 Source code
egarchni Source code
egarchpath Source code
egarchpath1 Source code
egarchpath2 Source code
egarchsim Source code
egarchsim1 Source code
egarchsim2 Source code
egarchstart Source code
embed Source code Source code
epsfn Source code
expand.model Source code
exprmseroc Source code
extractdata Source code
femme100 Source code
ffunE Source code
fgarchKappa Source code
fgarchLLH Source code
fgarchModel Source code
fgarchcon Source code
fgarchfilter Source code
fgarchfit Source code
fgarchforecast Source code
fgarchforecast2 Source code
fgarchni Source code
fgarchpath Source code
fgarchpath1 Source code
fgarchpath2 Source code
fgarchsim Source code
fgarchsim1 Source code
fgarchsim2 Source code
fgarchstart Source code
filterpersistence Source code
fitandextract Source code
fitandextractarfima Source code
fitdist Man page Source code
fitted,ARFIMAfilter-method Man page
fitted,ARFIMAfit-method Man page
fitted,ARFIMAforecast-method Man page
fitted,ARFIMAmultifilter-method Man page
fitted,ARFIMAmultifit-method Man page
fitted,ARFIMAmultiforecast-method Man page
fitted,ARFIMApath-method Man page
fitted,ARFIMAsim-method Man page
fitted,uGARCHfilter-method Man page
fitted,uGARCHfit-method Man page
fitted,uGARCHforecast-method Man page
fitted,uGARCHmultifilter-method Man page
fitted,uGARCHmultifit-method Man page
fitted,uGARCHmultiforecast-method Man page
fitted,uGARCHpath-method Man page
fitted,uGARCHsim-method Man page
fmodelBounds Source code
fnbound Source code
forcdates Source code
forcregressors Source code
fpm Man page Source code
fpm,ANY-method Man page
fpm,ARFIMAforecast-method Man page
fpm,ARFIMAroll-method Man page
fpm,uGARCHforecast-method Man page
fpm,uGARCHroll-method Man page
fpm1 Source code
fpm2 Source code
fracdiff Source code
ftseq Man page Source code
funb Source code
garchLLH Source code
garchcon Source code
garchconbounds Source code
garchfilter Source code
garchfit Source code
garchforecast Source code
garchforecast2 Source code
garchpath Source code
garchpath1 Source code
garchpath2 Source code
garchsim Source code
garchsim1 Source code
garchsim2 Source code
garchsolver Source code
garchstart Source code Source code
gauss_legendre2D Source code
gauss_legendre2D_helper Source code
gedFit Source code
gedexkurt Source code
gedplot Source code
gedscale Source code
gedskew Source code
generatefwd Man page Source code Source code
genxts Source code
getarfimaspec Source code
getcontrol Source code
getspec Man page Source code Source code
getspec,ANY-method Man page
getspec,ARFIMAfit-method Man page
getspec,uGARCHfit-method Man page
ghFit Source code
ghat Source code
ghstFit Source code
ghstexkurt Source code
ghstplot Source code
ghstscale Source code
ghstskew Source code
ghypMean Source code
ghypMom Source code
ghypdomain Source code
ghypexkurt Source code
ghypmu Source code
ghypscale Source code
ghypsigma Source code
ghypskew Source code
ghyptransform Man page Source code Source code
gjrfunE Source code
gjrgarchKappa Source code
gjrgarchLLH Source code
gjrgarchcon Source code
gjrgarchfilter Source code
gjrgarchfit Source code
gjrgarchforecast Source code
gjrgarchforecast2 Source code
gjrgarchni Source code
gjrgarchpath Source code
gjrgarchpath1 Source code
gjrgarchpath2 Source code
gjrgarchsim Source code
gjrgarchsim1 Source code
gjrgarchsim2 Source code
gof Man page Source code
gof,ANY,ANY-method Man page
gof,uGARCHfilter,numeric-method Man page
gof,uGARCHfit,numeric-method Man page
gofTest Source code
gosolnpctrl Source code
gosolnpsolver Source code
halflife Man page Source code
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
halflife,uGARCHspec,missing,missing,missing,missing-method Man page
halflife1 Source code
halflife2 Source code
has.intercept.matrix Source code
hccm Source code
hessian2sided Source code
hessian2sidedcpp Source code
hessian2sidedcppOLD Source code
hweibull Source code
hybridsolver Source code
hygarchstart Source code
hypdomain Source code
infocriteria Man page Source code
infocriteria,ANY-method Man page
infocriteria,ARFIMAfilter-method Man page
infocriteria,ARFIMAfit-method Man page
infocriteria,uGARCHfilter-method Man page
infocriteria,uGARCHfit-method Man page
is.aliased Source code
is.wholenumber Source code
jsuFit Source code
jsudomain Source code
jsuexkurt Source code
jsuplot Source code
jsuscale Source code
jsuskew Source code
kappaGH Source code
kde2d Source code
kfit Source code
kurtosis Source code
lagmatrix Source code
lagx Source code
lbfgsctrl Source code
lbfgssolver Source code
likDurationW Source code
likelihood Man page Source code
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,uGARCHfilter-method Man page
likelihood,uGARCHfit-method Man page
likelihood,uGARCHmultifilter-method Man page
likelihood,uGARCHmultifit-method Man page
linear.hypothesis Source code
linear.hypothesis.default Source code
loss.2lin Source code
loss.ae Source code
loss.ase Source code
loss.asq Source code
loss.da Source code
loss.lin Source code
loss.se Source code
loss.tr Source code
lossfn.ret Source code
lossfn.var Source code
makeHypothesis Source code
makeSample Source code
makearfimafitmodel Source code
makedate Source code
makefitmodel Source code
mcaparchstart Source code
mcs Source code
mcsgarchLLH Source code
mcsgarchfilter Source code
mcsgarchfit Source code
mcsgarchforecast Source code
mcsgarchforecast2 Source code
mcsgarchpath Source code
mcsgarchsim Source code
meanlossfn Source code Source code
medianlossfn Source code Source code
meqstart Source code
meqstartpars Source code
model2spec Source code
modelcomb Source code
momChangeAbout Source code
momRecursion Source code
move Man page Source code
multgarchbootPlot Source code
multgarchdistPlot Source code
multgarchfilterPlot Source code
multgarchfitPlot Source code
multgarchforecastPlot Source code
multgarchpathPlot Source code
multgarchrollPlot Source code
multgarchsimPlot Source code
multifilter Man page Source code
multifilter,ANY-method Man page
multifilter,ARFIMAmultifit-method Man page
multifilter,ARFIMAmultispec-method Man page
multifilter,uGARCHmultifit-method Man page
multifilter,uGARCHmultispec-method Man page
multifilter-methods Man page
multifilterarfima1 Source code
multifilterarfima2 Source code
multifiltergarch1 Source code
multifiltergarch2 Source code
multifit Man page Source code
multifit,ANY-method Man page
multifit,ARFIMAmultispec-method Man page
multifit,uGARCHmultispec-method Man page
multifit-methods Man page
multifitarfima Source code
multifitgarch Source code
multiforecast Man page Source code
multiforecast,ANY-method Man page
multiforecast,ARFIMAmultifit-method Man page
multiforecast,ARFIMAmultispec-method Man page
multiforecast,uGARCHmultifit-method Man page
multiforecast,uGARCHmultispec-method Man page
multiforecast-methods Man page
multiforecastarfima1 Source code
multiforecastarfima2 Source code
multiforecastgarch1 Source code
multiforecastgarch2 Source code
multispec Man page Source code
multispec,ANY-method Man page
multispec,vector-method Man page
multispec-methods Man page
multispecall Source code
multispecarfima Source code
multispecgarch Source code
nCm Source code
naparchforecast Source code
ncsgarchforecast Source code
negarchforecast Source code
neweywestcv Source code
newlagmatrix Source code
newsimpact Man page Source code Source code
newsimpact,ANY-method Man page
newsimpact,uGARCHfilter-method Man page
newsimpact,uGARCHfit-method Man page
nfgarchforecast Source code
nformation.test Source code
ngjrgarchforecast Source code
nigFit Source code
nigarchforecast Source code
nigdomain Source code
nigexkurt Source code
nigmu Source code
nigplot Source code
nigscale Source code
nigsigma Source code
nigskew Source code
nigtransform Source code Source code
nlminbctrl Source code
nlminbsolver Source code
nloptrctrl Source code
nloptrsolver Source code
nmcsgarchforecast Source code
norm2snorm1 Source code
norm2snorm2 Source code
normFit Source code
normscale Source code
nrealgarchforecast Source code
nsgarchforecast Source code
ntergarchbootPlot Source code
ntergarchdistPlot Source code
ntergarchfilterPlot Source code
ntergarchfitPlot Source code
ntergarchforecastPlot Source code
ntergarchpathPlot Source code
ntergarchrollPlot Source code
ntergarchsimPlot Source code
ntraday2daily Source code
numeric2xts Source code
nyblom Man page Source code
nyblom,ANY-method Man page
nyblom,uGARCHfit-method Man page
nyblomCritical Source code
nyblomTest Source code
og Source code
onUnload Source code
ones Source code
paramGH Source code
paramGHST Source code
pdist Man page Source code
persistanstgarch Source code
persistaparch1 Source code
persistaparch2 Source code
persistcsgarch1 Source code
persistcsgarch2 Source code
persistegarch1 Source code
persistegarch2 Source code
persistence Man page Source code
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
persistence,uGARCHspec,missing,missing,missing,missing-method Man page
persistence1 Source code
persistence2 Source code
persistence3 Source code
persistfgarch1 Source code
persistfgarch2 Source code
persistgjrgarch1 Source code
persistgjrgarch2 Source code
persistmcsgarch1 Source code
persistmcsgarch2 Source code
persistrealgarch1 Source code
persistrealgarch2 Source code
persistsgarch1 Source code
persistsgarch2 Source code
pged Source code
pgh Source code
pit Man page Source code
pit,ANY-method Man page
pit,uGARCHfilter-method Man page
pit,uGARCHfit-method Man page
pit,uGARCHroll-method Man page
pjsu Source code
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
plot.acf Source code
plot.garchboot.1 Source code
plot.garchboot.2 Source code
plot.garchboot.3 Source code
plot.garchdist.1 Source code
plot.garchdist.2 Source code
plot.garchdist.3 Source code
plot.garchdist.4 Source code
plot.garchfilter.1 Source code
plot.garchfilter.10 Source code
plot.garchfilter.11 Source code
plot.garchfilter.12 Source code
plot.garchfilter.2 Source code
plot.garchfilter.3 Source code
plot.garchfilter.4 Source code
plot.garchfilter.5 Source code
plot.garchfilter.6 Source code
plot.garchfilter.7 Source code
plot.garchfilter.8 Source code
plot.garchfilter.9 Source code
plot.garchfit.1 Source code
plot.garchfit.10 Source code
plot.garchfit.11 Source code
plot.garchfit.12 Source code
plot.garchfit.2 Source code
plot.garchfit.3 Source code
plot.garchfit.4 Source code
plot.garchfit.5 Source code
plot.garchfit.6 Source code
plot.garchfit.7 Source code
plot.garchfit.8 Source code
plot.garchfit.9 Source code
plot.garchforecast.1 Source code
plot.garchforecast.2 Source code
plot.garchforecast.3 Source code
plot.garchforecast.4 Source code
plot.garchpath.1 Source code
plot.garchpath.2 Source code
plot.garchpath.3 Source code
plot.garchpath.4 Source code
plot.garchroll.1 Source code
plot.garchroll.2 Source code
plot.garchroll.3 Source code
plot.garchroll.4 Source code
plot.garchroll.5 Source code
plot.garchsim.1 Source code
plot.garchsim.2 Source code
plot.garchsim.3 Source code
plot.garchsim.4 Source code
plotarmamodel Source code
plotarmaroots Source code
plotgarchboot Source code
plotgarchdist Source code
plotgarchfilter Source code
plotgarchfit Source code
plotgarchforecast Source code
plotgarchpath Source code
plotgarchroll Source code
plotgarchsim Source code
pneg Source code
pnegfunE Source code
pnig Source code
pointsarmaroots Source code
printHypothesis Source code
psged Source code
psgh Source code
psghst Source code Source code
psnig Source code
psnorm Source code
psstd Source code
pstd Source code
publishbench Source code
pweibull Source code
qdist Man page Source code
qged Source code
qgh Source code
qjsu Source code
qnig Source code
qnigC Source code
qqDist Source code
qqLine Source code
qsged Source code
qsgh Source code
qsghst Source code Source code
qsnig Source code
qsnigC Source code
qsnorm Source code
qsstd Source code
qstd Source code
quantile,uGARCHfilter-method Man page
quantile,uGARCHfit-method Man page
quantile,uGARCHforecast-method Man page
quantile,uGARCHpath-method Man page
quantile,uGARCHroll-method Man page
quantile,uGARCHsim-method Man page
quartic Source code
quicksimulate Source code
rGARCH-class Man page
rdist Man page Source code
realgarchLLH Source code
realgarchcon Source code
realgarchfilter Source code
realgarchfit Source code
realgarchforecast Source code
realgarchforecast2 Source code
realgarchni Source code
realgarchpath Source code
realgarchsim Source code
realgarchstart Source code
reduce Man page Source code Source code
reduce,ANY-method Man page
reduce,uGARCHfit-method Man page
repmat Source code Source code
report Man page Source code
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,uGARCHfilter-method Man page
residuals,uGARCHfit-method Man page
residuals,uGARCHmultifilter-method Man page
residuals,uGARCHmultifit-method Man page
resume Man page Source code Source code
resume,ANY-method Man page
resume,ARFIMAroll-method Man page
resume,uGARCHroll-method Man page
resumeroll.mcs Source code
resumeroll.real Source code
resumeroll1 Source code
resumeroll2 Source code
rgarchdist Man page
rged Source code
rgh Source code
rgigjd Source code
rgigjd1 Source code
rjsu Source code
rmse Source code
rmseplots Source code
rnig Source code
robustvcv Source code
rollVaRreport1 Source code
rollVaRreport2 Source code
rollfdensity Source code
rollfdensity.mcs Source code
rollfdensity.real Source code
rollfpmreport1 Source code
rollfpmreport2 Source code
rsfit Source code
rsged Source code
rsgh Source code
rsgh_R Source code
rsghst Source code
rsnig Source code
rsnorm Source code
rsstd Source code
rstd Source code
rugarch Man page
rugarch-package Man page
safefit Source code
safefitarfima Source code
scaledist Source code
sdigit Source code
serieserrorplot Source code
setbounds Source code
setbounds<- Man page
setbounds<-,ANY,ANY-method Man page
setbounds<-,ARFIMAspec,vector-method Man page
setbounds<-,uGARCHspec,vector-method Man page
setfixed Source code
setfixed<- Man page
setfixed<-,ANY,ANY-method Man page
setfixed<-,ARFIMAspec,vector-method Man page
setfixed<-,uGARCHspec,vector-method Man page
setfixedarfima Source code
setstart Source code
setstart<- Man page
setstart<-,ANY,ANY-method Man page
setstart<-,ARFIMAspec,vector-method Man page
setstart<-,uGARCHspec,vector-method Man page
setstartarfima Source code
sfit Source code
sgarchLLH Source code
sgarchcon Source code
sgarchfilter Source code
sgarchfit Source code
sgarchforecast Source code
sgarchforecast2 Source code
sgarchni Source code
sgarchpath Source code
sgarchpath1 Source code
sgarchpath2 Source code
sgarchsim Source code
sgarchsim1 Source code
sgarchsim2 Source code
sgedFit Source code
sgedexkurt Source code
sgedplot Source code
sgedscale Source code
sgedskew Source code
sghFit Source code
sghypexkurt Source code
sghypskew Source code
show,ARFIMAdistribution-method Man page
show,ARFIMAfilter-method Man page
show,ARFIMAfit-method Man page
show,ARFIMAforecast-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,ARFIMAroll-method Man page
show,ARFIMAsim-method Man page
show,ARFIMAspec-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,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,uGARCHroll-method Man page
show,uGARCHsim-method Man page
show,uGARCHspec-method Man page
sigma Man page Source code
sigma,ANY-method Man page
sigma,uGARCHfilter-method Man page
sigma,uGARCHfit-method Man page
sigma,uGARCHforecast-method Man page
sigma,uGARCHmultifilter-method Man page
sigma,uGARCHmultifit-method Man page
sigma,uGARCHmultiforecast-method Man page
sigma,uGARCHpath-method Man page
sigma,uGARCHsim-method Man page
sigmaerrorplot Source code
sigmat Source code
signbias Man page Source code
signbias,ANY-method Man page
signbias,uGARCHfilter-method Man page
signbias,uGARCHfit-method Man page
signbias-methods Man page
signbiasTest Source code
signpluszero Source code
simlayout Source code
simregressors Source code
size Source code
skdomain Man page Source code
skewness Source code
snigFit Source code
snigexkurt Source code
snigskew Source code
snormFit Source code
snormexkurt Source code
snormplot Source code
snormscale Source code
snormskew Source code
solnpctrl Source code
solnpsolver Source code
sp500ret Man page
spyreal Man page
sstdFit Source code
sstddomain Source code
sstdexkurt Source code
sstdplot Source code
sstdscale Source code
sstdskew Source code
stars Source code
stationary_bootstrap Source code
statsplot Source code
stdFit Source code
stdexkurt Source code
stdplot Source code
stdscale Source code
stdskew Source code
stime Source code
taufn Source code
uGARCHboot-class Man page
uGARCHdistribution-class Man page
uGARCHfilter-class Man page
uGARCHfit-class Man page
uGARCHforecast-class Man page
uGARCHmultifilter-class Man page
uGARCHmultifit-class Man page
uGARCHmultiforecast-class Man page
uGARCHmultispec-class Man page
uGARCHpath-class Man page
uGARCHroll-class Man page
uGARCHsim-class Man page
uGARCHspec-class Man page
ub1f1 Source code
ub1f2 Source code
ub1p1 Source code
ub1p2 Source code
ugarchLikelihood Source code
ugarchbench Man page Source code
ugarchboot Man page Source code
ugarchboot,ANY-method Man page
ugarchboot,uGARCHfit-method Man page
ugarchboot,uGARCHspec-method Man page
ugarchboot-methods Man page
ugarchbootdf Source code
ugarchbootfit Source code
ugarchbootspec Source code
ugarchdistdf Source code
ugarchdistribution Man page Source code Source code
ugarchdistribution,ANY-method Man page
ugarchdistribution,uGARCHfit-method Man page
ugarchdistribution,uGARCHspec-method Man page
ugarchdistribution-methods Man page
ugarchfilter Man page Source code Source code
ugarchfilter,ANY-method Man page
ugarchfilter,uGARCHspec-method Man page
ugarchfilter-methods Man page
ugarchfiltercoef Source code
ugarchfit Man page Source code Source code
ugarchfit,ANY-method Man page
ugarchfit,uGARCHspec-method Man page
ugarchfit-methods Man page
ugarchfitcoef Source code
ugarchfitted Source code
ugarchfittedmf Source code
ugarchforecast Man page Source code
ugarchforecast,ANY-method Man page
ugarchforecast,uGARCHfit-method Man page
ugarchforecast,uGARCHspec-method Man page
ugarchforecast-methods Man page
ugarchforecast1 Source code
ugarchforecast2 Source code
ugarchinfocriteria Source code
ugarchmultifiltercoef Source code
ugarchmultifitcoef Source code
ugarchpath Man page Source code Source code
ugarchpath,ANY-method Man page
ugarchpath,uGARCHspec-method Man page
ugarchpath-methods Man page
ugarchpit Source code
ugarchquantile Source code
ugarchresids Source code
ugarchroll Man page Source code Source code
ugarchroll,ANY-method Man page
ugarchroll,uGARCHspec-method Man page
ugarchroll-methods Man page
ugarchrollcoef Source code
ugarchrolldf Source code
ugarchrollreport Source code
ugarchsigma Source code
ugarchsigmamf Source code
ugarchsim Man page Source code Source code
ugarchsim,ANY-method Man page
ugarchsim,uGARCHfit-method Man page
ugarchsim-methods Man page
ugarchspec Man page Source code Source code
ugarchspec,ANY-method Man page
ugarchspec-methods Man page
uncaparch1 Source code
uncaparch2 Source code
unccsgarch1 Source code
unccsgarch2 Source code
uncegarch1 Source code
uncegarch2 Source code
uncfgarch1 Source code
uncfgarch2 Source code
uncgjrgarch1 Source code
uncgjrgarch2 Source code
uncmcsgarch1 Source code
uncmcsgarch2 Source code
uncmean Man page Source code
uncmean,ANY-method Man page
uncmean,ARFIMAfilter-method Man page
uncmean,ARFIMAfit-method Man page
uncmean,ARFIMAspec-method Man page
uncmean,uGARCHfilter-method Man page
uncmean,uGARCHfit-method Man page
uncmean,uGARCHspec-method Man page
unconditional1 Source code
unconditional2 Source code
unconditional3 Source code
unconditional4 Source code
unconditionalmean1 Source code
unconditionalmean11 Source code
unconditionalmean2 Source code
unconditionalmean21 Source code
uncrealgarch1 Source code
uncrealgarch2 Source code
uncrealgarchr Source code
uncsgarch1 Source code
uncsgarch2 Source code
uncvariance Man page Source code
uncvariance,ANY,ANY,ANY,ANY,ANY,ANY-method Man page
uncvariance,missing,numeric,character,character,ANY,ANY-method Man page
uncvariance,uGARCHfilter,missing,missing,missing,missing,missing Man page
uncvariance,uGARCHfit,missing,missing,missing,missing,missing-me Man page
uncvariance,uGARCHspec,missing,missing,missing,missing,missing-m Man page
unique_intraday Source code
unique_time Source code
unitroot Source code
validarfimafilterlist Source code
validarfimafitlist Source code
validarfimaforecastlist Source code
validarfimaspeclist Source code
validfilterlist Source code
validfitlist Source code
validforecastlist Source code
validspeclist Source code
vcov Source code
vcov,ARFIMAfit-method Man page
vcov,uGARCHfit-method Man page
vcov.default Source code
waldcomomtest Source code
weightedBoxTest Source code
weightedarchlmtest Source code
xarfimaspec Source code
zarfimaspec Source code
zeros Source code

Files

.Rinstignore
ChangeLog
DESCRIPTION
NAMESPACE
R
R/arfima-classes.R
R/arfima-main.R
R/arfima-methods.R
R/arfima-multi.R
R/rugarch-aparch.R
R/rugarch-armafor.R
R/rugarch-benchmarks.R
R/rugarch-bootstrap.R
R/rugarch-classes.R
R/rugarch-csgarch.R
R/rugarch-cwrappers.R
R/rugarch-distributions.R
R/rugarch-egarch.R
R/rugarch-fgarch.R
R/rugarch-gjrgarch.R
R/rugarch-graphs.R
R/rugarch-helperfn.R
R/rugarch-igarch.R
R/rugarch-imports.R
R/rugarch-kappa.R
R/rugarch-lossfn.R
R/rugarch-mcsgarch.R
R/rugarch-methods.R
R/rugarch-multi.R
R/rugarch-numderiv.R
R/rugarch-plots.R
R/rugarch-realgarch.R
R/rugarch-rolling.R
R/rugarch-series.R
R/rugarch-sgarch.R
R/rugarch-solvers.R
R/rugarch-startpars.R
R/rugarch-tests.R
R/rugarch-uncertainty.R
R/zzz.R
build
build/vignette.rds
data
data/dji30ret.rda
data/dmbp.rda
data/sp500ret.rda
data/spyreal.rda
inst
inst/CITATION
inst/COPYRIGHTS
inst/doc
inst/doc/Introduction_to_the_rugarch_package.Rnw
inst/doc/Introduction_to_the_rugarch_package.pdf
inst/rugarch.tests
inst/rugarch.tests/rugarch.test1.R
inst/rugarch.tests/rugarch.test10.R
inst/rugarch.tests/rugarch.test11.R
inst/rugarch.tests/rugarch.test12.R
inst/rugarch.tests/rugarch.test13.R
inst/rugarch.tests/rugarch.test2.R
inst/rugarch.tests/rugarch.test3.R
inst/rugarch.tests/rugarch.test4.R
inst/rugarch.tests/rugarch.test5.R
inst/rugarch.tests/rugarch.test6.R
inst/rugarch.tests/rugarch.test7.R
inst/rugarch.tests/rugarch.test8.R
inst/rugarch.tests/rugarch.test9.R
inst/rugarch.tests/runtests.R
man
man/ARFIMA-class.Rd
man/ARFIMAdistribution-class.Rd
man/ARFIMAfilter-class.Rd
man/ARFIMAfit-class.Rd
man/ARFIMAforecast-class.Rd
man/ARFIMAmultifilter-class.Rd
man/ARFIMAmultifit-class.Rd
man/ARFIMAmultiforecast-class.Rd
man/ARFIMAmultispec-class.Rd
man/ARFIMApath-class.Rd
man/ARFIMAroll-class.Rd
man/ARFIMAsim-class.Rd
man/ARFIMAspec-class.Rd
man/BerkowitzTest.Rd
man/DACTest.Rd
man/DateTimeUtilities.Rd
man/ESTest.Rd
man/GARCHboot-class.Rd
man/GARCHdistribution-class.Rd
man/GARCHfilter-class.Rd
man/GARCHfit-class.Rd
man/GARCHforecast-class.Rd
man/GARCHpath-class.Rd
man/GARCHroll-class.Rd
man/GARCHsim-class.Rd
man/GARCHspec-class.Rd
man/GARCHtests-class.Rd
man/GMMTest.Rd
man/HLTest.Rd
man/VaRDurTest.Rd
man/VaRTest.Rd
man/VaRloss.Rd
man/VaRplot.Rd
man/arfimadistribution-methods.Rd
man/arfimafilter-methods.Rd
man/arfimafit-methods.Rd
man/arfimaforecast-methods.Rd
man/arfimapath-methods.Rd
man/arfimaroll-methods.Rd
man/arfimasim-methods.Rd
man/arfimaspec-methods.Rd
man/autoarfima.Rd
man/dji30ret.Rd
man/dmbp.Rd
man/ghyptransform.Rd
man/multifilter-methods.Rd
man/multifit-methods.Rd
man/multiforecast-methods.Rd
man/multispec-methods.Rd
man/rGARCH-class.Rd
man/rugarch-package.Rd
man/sp500ret.Rd
man/spyreal.Rd
man/uGARCHboot-class.Rd
man/uGARCHdistribution-class.Rd
man/uGARCHfilter-class.Rd
man/uGARCHfit-class.Rd
man/uGARCHforecast-class.Rd
man/uGARCHmultifilter-class.Rd
man/uGARCHmultifit-class.Rd
man/uGARCHmultiforecast-class.Rd
man/uGARCHmultispec-class.Rd
man/uGARCHpath-class.Rd
man/uGARCHroll-class.Rd
man/uGARCHsim-class.Rd
man/uGARCHspec-class.Rd
man/ugarchbench.Rd
man/ugarchboot-methods.Rd
man/ugarchdist.Rd
man/ugarchdistribution-methods.Rd
man/ugarchfilter-methods.Rd
man/ugarchfit-methods.Rd
man/ugarchforecast-methods.Rd
man/ugarchpath-methods.Rd
man/ugarchroll-methods.Rd
man/ugarchsim-methods.Rd
man/ugarchspec-methods.Rd
src
src/Makevars
src/Makevars.win
src/distributions.c
src/distributions.h
src/filters.c
src/filters.h
src/fracdiff.c
src/fracdiff.h
src/fracimport.f
src/garchmodels.c
src/garchsim.cpp
src/garchsim.h
src/gig.c
src/gig.h
src/nig.c
src/nig.h
src/rugarch.h
vignettes
vignettes/Introduction_to_the_rugarch_package.Rnw
vignettes/Introduction_to_the_rugarch_package.tex
vignettes/boot_partial.png
vignettes/dist1.png
vignettes/dist11.png
vignettes/dist2.png
vignettes/dist3.png
vignettes/fitplot.png
vignettes/ghyp1.png
vignettes/ghyp2.png
vignettes/ghyp3.png
vignettes/ghyp4.png
vignettes/roll.png
vignettes/rugarch.tex
vignettes/rugarchbib.bib
rugarch documentation built on May 21, 2017, 12:24 a.m.