rugarch: Univariate GARCH models

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

AuthorAlexios Ghalanos <alexios@4dscape.com>
Date of publication2014-03-17 01:46:48
MaintainerAlexios Ghalanos <alexios@4dscape.com>
LicenseGPL-3
Version1.3-2
http://www.unstarched.net, https://r-forge.r-project.org/projects/teatime/

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

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

Files in this package

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

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