Flexible GARCH modelling in R

Documentation for package ‘rgarch’ version 1.79

DESCRIPTION file.

Help Pages

A C D F G H I L M N P Q R S U W

-- --

rgarch-package

The rgarch package

-- A --

ARFIMA-class	class: High Level ARFIMA class
arfimadistribution	function: ARFIMA Parameter Distribution via Simulation
ARFIMAdistribution-class	class: ARFIMA Parameter Distribution Class
arfimadistribution-method	function: ARFIMA Parameter Distribution via Simulation
arfimadistribution-methods	function: ARFIMA Parameter Distribution via Simulation
arfimafilter	function: ARFIMA Filtering
ARFIMAfilter-class	class: ARFIMA Filter Class
arfimafilter-method	function: ARFIMA Filtering
arfimafilter-methods	function: ARFIMA Filtering
arfimafit	function: ARFIMA Fit
ARFIMAfit-class	class: ARFIMA Fit Class
arfimafit-method	function: ARFIMA Fit
arfimafit-methods	function: ARFIMA Fit
arfimaforecast	function: ARFIMA Forecasting
ARFIMAforecast-class	class: ARFIMA Forecast Class
arfimaforecast-method	function: ARFIMA Forecasting
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	function: ARFIMA Path Simulation
ARFIMApath-class	class: ARFIMA Path Simulation Class
arfimapath-method	function: ARFIMA Path Simulation
arfimapath-methods	function: ARFIMA Path Simulation
arfimaroll	function: ARFIMA Rolling Density Forecast and Backtesting
ARFIMAroll-class	class: ARFIMA Rolling Forecast Class
arfimaroll-method	function: ARFIMA Rolling Density Forecast and Backtesting
arfimaroll-methods	function: ARFIMA Rolling Density Forecast and Backtesting
arfimasim	function: ARFIMA Simulation
ARFIMAsim-class	class: ARFIMA Simulation Class
arfimasim-method	function: ARFIMA Simulation
arfimasim-methods	function: ARFIMA Simulation
arfimaspec	function: ARFIMA Specification
ARFIMAspec-class	class: ARFIMA Specification Class
arfimaspec-method	function: ARFIMA Specification
arfimaspec-methods	function: ARFIMA Specification
as.ARFIMAforecast	class: ARFIMA Rolling Forecast Class
as.ARFIMAforecast-method	class: ARFIMA Rolling Forecast Class
as.array-method	class: ARFIMA Forecast Class
as.array-method	class: ARFIMA Multiple Forecast Class
as.array-method	class: Univariate GARCH Forecast Class
as.array-method	class: Univariate GARCH Multiple Forecast Class
as.data.frame-method	class: ARFIMA Parameter Distribution Class
as.data.frame-method	class: ARFIMA Filter Class
as.data.frame-method	class: ARFIMA Fit Class
as.data.frame-method	class: ARFIMA Forecast Class
as.data.frame-method	class: ARFIMA Forecast Performance Measures
as.data.frame-method	class: ARFIMA Path Simulation Class
as.data.frame-method	class: ARFIMA Rolling Forecast Class
as.data.frame-method	class: ARFIMA Simulation Class
as.data.frame-method	class: GO-GARCH Filter Class
as.data.frame-method	class: GO-GARCH Fit Class
as.data.frame-method	class: Univariate GARCH Bootstrap Class
as.data.frame-method	class: Univariate GARCH Parameter Distribution Class
as.data.frame-method	class: Univariate GARCH Filter Class
as.data.frame-method	class: Univariate GARCH Fit Class
as.data.frame-method	class: Univariate GARCH Forecast Class
as.data.frame-method	class: Univatiate GARCH Forecast Performance Measures
as.data.frame-method	class: Univariate GARCH Path Simulation Class
as.data.frame-method	class: Univariate GARCH Rolling Forecast Class
as.data.frame-method	class: Univariate GARCH Simulation Class
as.list-method	class: ARFIMA Forecast Class
as.list-method	class: ARFIMA Multiple Forecast Class
as.list-method	class: Univariate GARCH Multiple Forecast Class
as.uGARCHforecast	class: Univariate GARCH Rolling Forecast Class
as.uGARCHforecast-method	class: Univariate GARCH Rolling Forecast Class

-- C --

coef-method	class: ARFIMA Filter Class
coef-method	class: ARFIMA Fit Class
coef-method	class: ARFIMA Multiple Filter Class
coef-method	class: ARFIMA Multiple Fit Class
coef-method	class: DCC Filter Class
coef-method	class: DCC Fit Class
coef-method	class: DCC Roll Class
coef-method	class: GO-GARCH Filter Class
coef-method	class: GO-GARCH Fit Class
coef-method	class: Univariate GARCH Filter Class
coef-method	class: Univariate GARCH Fit Class
coef-method	class: Univariate GARCH Multiple Filter Class
coef-method	class: Univariate GARCH Multiple Fit Class
convolution	class: GO-GARCH Fit Class
convolution-method	class: GO-GARCH Filter Class
convolution-method	class: GO-GARCH Fit Class
convolution-method	class: GO-GARCH Forecast Class
convolution-method	class: GO-GARCH Roll Class
convolution-method	class: GO-GARCH Simultion Class

-- D --

dccfilter	function: DCC-GARCH Filter
DCCfilter-class	class: DCC Filter Class
dccfilter-method	function: DCC-GARCH Filter
dccfit	function: DCC-GARCH Fit
DCCfit-class	class: DCC Fit Class
dccfit-method	function: DCC-GARCH Fit
dccforecast	function: DCC-GARCH Forecast
DCCforecast-class	class: DCC Forecast Class
dccforecast-method	function: DCC-GARCH Forecast
dccroll	function: DCC-GARCH Rolling Forecast
DCCroll-class	class: DCC Roll Class
dccroll-method	function: DCC-GARCH Rolling Forecast
dccsim	function: DCC-GARCH Simulation
DCCsim-class	class: DCC Forecast Class
dccsim-method	function: DCC-GARCH Simulation
dccspec	function: DCC-GARCH Specification
DCCspec-class	class: DCC Specification Class
dccspec-method	function: DCC-GARCH Specification
ddist	Distribution: rgarch distribution functions
dfft	Class: GO-GARCH portfolio density
dfft-method	Class: GO-GARCH portfolio density
dji30ret	data: Dow Jones 30 Constituents Closing Value Log Return
dkurtosis	Distribution: rgarch distribution functions
dmbp	data: Deutschemark/British pound Exchange Rate
dskewness	Distribution: rgarch distribution functions

-- F --

first	First and Last methods for accessing objects
first-method	First and Last methods for accessing objects
first-methods	First and Last methods for accessing objects
fitdist	Distribution: rgarch distribution functions
fitted-method	class: ARFIMA Filter Class
fitted-method	class: ARFIMA Fit Class
fitted-method	class: ARFIMA Multiple Filter Class
fitted-method	class: ARFIMA Multiple Fit Class
fitted-method	class: DCC Filter Class
fitted-method	class: DCC Fit Class
fitted-method	class: DCC Forecast Class
fitted-method	class: DCC Roll Class
fitted-method	class: DCC Forecast Class
fitted-method	class: GO-GARCH Filter Class
fitted-method	class: GO-GARCH Fit Class
fitted-method	class: Univariate GARCH Filter Class
fitted-method	class: Univariate GARCH Fit Class
fitted-method	class: Univariate GARCH Multiple Filter Class
fitted-method	class: Univariate GARCH Multiple Fit Class
ForwardDates	function: Generate Future Dates
ForwardDates-method	function: Generate Future Dates
fpm	function: Univariate GARCH and ARFIMA Forecast Performance Measures
fpm-method	function: Univariate GARCH and ARFIMA Forecast Performance Measures
fpm-methods	function: Univariate GARCH and ARFIMA Forecast Performance Measures

-- G --

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
getspec	class: Univariate GARCH Fit Class
getspec-method	class: ARFIMA Fit Class
getspec-method	class: Univariate GARCH Fit Class
ghyptransform	Distribution: Generalized Hyperbolic Transformation and Scaling
gof	class: Univariate GARCH Fit Class
gof-method	class: Univariate GARCH Filter Class
gof-method	class: Univariate GARCH Fit Class
goGARCHfft-class	Class: GO-GARCH portfolio density
gogarchfilter	function: GO-GARCH Fitting
goGARCHfilter-class	class: GO-GARCH Filter Class
gogarchfilter-method	function: GO-GARCH Fitting
gogarchfit	function: GO-GARCH Filter
goGARCHfit-class	class: GO-GARCH Fit Class
gogarchfit-method	function: GO-GARCH Filter
gogarchforecast	function: GO-GARCH Forecast
goGARCHforecast-class	class: GO-GARCH Forecast Class
gogarchforecast-method	function: GO-GARCH Forecast
gogarchforecast-methods	function: GO-GARCH Forecast
gogarchroll	function: GO-GARCH Rolling Estimation
goGARCHroll-class	class: GO-GARCH Roll Class
gogarchroll-method	function: GO-GARCH Rolling Estimation
gogarchsim	function: GO-GARCH Simulation
goGARCHsim-class	class: GO-GARCH Simultion Class
gogarchsim-method	function: GO-GARCH Simulation
gogarchspec	function: GO-GARCH Specification
goGARCHspec-class	class: GO-GARCH Specification Class
gogarchspec-method	function: GO-GARCH Specification
gogarchspec-methods	function: GO-GARCH Specification
gportmoments	class: GO-GARCH Fit Class
gportmoments-method	class: GO-GARCH Filter Class
gportmoments-method	class: GO-GARCH Fit Class
gportmoments-method	class: GO-GARCH Forecast Class
gportmoments-method	class: GO-GARCH Simultion Class

-- H --

halflife	class: Univariate GARCH Fit Class
halflife-method	class: Univariate GARCH Filter Class
halflife-method	class: Univariate GARCH Fit Class

-- I --

infocriteria	class: Univariate GARCH Fit Class
infocriteria-method	class: ARFIMA Filter Class
infocriteria-method	class: ARFIMA Fit Class
infocriteria-method	class: DCC Filter Class
infocriteria-method	class: DCC Fit Class
infocriteria-method	class: Univariate GARCH Filter Class
infocriteria-method	class: Univariate GARCH Fit Class

-- L --

last	First and Last methods for accessing objects
last-method	First and Last methods for accessing objects
last-methods	First and Last methods for accessing objects
likelihood	class: Univariate GARCH Fit Class
likelihood-method	class: ARFIMA Filter Class
likelihood-method	class: ARFIMA Fit Class
likelihood-method	class: ARFIMA Multiple Filter Class
likelihood-method	class: ARFIMA Multiple Fit Class
likelihood-method	class: DCC Filter Class
likelihood-method	class: DCC Fit Class
likelihood-method	class: DCC Roll Class
likelihood-method	class: GO-GARCH Filter Class
likelihood-method	class: GO-GARCH Fit Class
likelihood-method	class: Univariate GARCH Filter Class
likelihood-method	class: Univariate GARCH Fit Class
likelihood-method	class: Univariate GARCH Multiple Filter Class
likelihood-method	class: Univariate GARCH Multiple Fit Class

-- M --

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	function: Univariate GARCH and ARFIMA Multiple Filtering
multifilter-method	function: Univariate GARCH and ARFIMA Multiple Filtering
multifilter-methods	function: Univariate GARCH and ARFIMA Multiple Filtering
multifit	function: Univariate GARCH and ARFIMA Multiple Fitting
multifit-method	function: Univariate GARCH and ARFIMA Multiple Fitting
multifit-methods	function: Univariate GARCH and ARFIMA Multiple Fitting
multiforecast	function: Univariate GARCH and ARFIMA Multiple Forecasting
multiforecast-method	function: Univariate GARCH and ARFIMA Multiple Forecasting
multiforecast-methods	function: Univariate GARCH and ARFIMA Multiple Forecasting
multispec	function: Univariate multiple GARCH Specification
multispec-method	function: Univariate multiple GARCH Specification
multispec-methods	function: Univariate multiple GARCH Specification

-- N --

newsimpact	class: Univariate GARCH Fit Class
newsimpact-method	class: Univariate GARCH Filter Class
newsimpact-method	class: Univariate GARCH Fit Class
nigtransform	Distribution: Normal Inverse Gaussian Transformation and Scaling
nisurface	class: GO-GARCH Fit Class
nisurface-method	class: GO-GARCH Fit Class
nportmoments	Class: GO-GARCH portfolio density
nportmoments-method	Class: GO-GARCH portfolio density
nyblom	class: Univariate GARCH Fit Class
nyblom-method	class: Univariate GARCH Fit Class

-- P --

pdist	Distribution: rgarch distribution functions
persistence	class: Univariate GARCH Fit Class
persistence-method	class: Univariate GARCH Filter Class
persistence-method	class: Univariate GARCH Fit Class
pfft	Class: GO-GARCH portfolio density
pfft-method	Class: GO-GARCH portfolio density
plot-method	class: DCC Filter Class
plot-method	class: DCC Fit Class
plot-method	class: DCC Forecast Class
plot-method	class: DCC Roll Class
plot-method	class: Univariate GARCH Bootstrap Class
plot-method	class: Univariate GARCH Parameter Distribution Class
plot-method	class: Univariate GARCH Filter Class
plot-method	class: Univariate GARCH Fit Class
plot-method	class: Univariate GARCH Forecast Class
plot-method	class: Univariate GARCH Path Simulation Class
plot-method	class: Univariate GARCH Rolling Forecast Class
plot-method	class: Univariate GARCH Simulation Class

-- Q --

qdist	Distribution: rgarch distribution functions
qfft	Class: GO-GARCH portfolio density
qfft-method	Class: GO-GARCH portfolio density

-- R --

rcokurt	class: GO-GARCH Fit Class
rcokurt-method	class: GO-GARCH Filter Class
rcokurt-method	class: GO-GARCH Fit Class
rcokurt-method	class: GO-GARCH Forecast Class
rcokurt-method	class: GO-GARCH Simultion Class
rcor	class: GO-GARCH Fit Class
rcor-method	class: DCC Filter Class
rcor-method	class: DCC Fit Class
rcor-method	class: DCC Forecast Class
rcor-method	class: DCC Roll Class
rcor-method	class: DCC Forecast Class
rcor-method	class: GO-GARCH Filter Class
rcor-method	class: GO-GARCH Fit Class
rcor-method	class: GO-GARCH Forecast Class
rcor-method	class: GO-GARCH Roll Class
rcor-method	class: GO-GARCH Simultion Class
rcoskew	class: GO-GARCH Fit Class
rcoskew-method	class: GO-GARCH Filter Class
rcoskew-method	class: GO-GARCH Fit Class
rcoskew-method	class: GO-GARCH Forecast Class
rcoskew-method	class: GO-GARCH Simultion Class
rcov	class: GO-GARCH Fit Class
rcov-method	class: DCC Filter Class
rcov-method	class: DCC Fit Class
rcov-method	class: DCC Forecast Class
rcov-method	class: DCC Roll Class
rcov-method	class: DCC Forecast Class
rcov-method	class: GO-GARCH Filter Class
rcov-method	class: GO-GARCH Fit Class
rcov-method	class: GO-GARCH Forecast Class
rcov-method	class: GO-GARCH Roll Class
rcov-method	class: GO-GARCH Simultion Class
rdist	Distribution: rgarch distribution functions
report	class: Univariate GARCH Rolling Forecast Class
report-method	class: ARFIMA Rolling Forecast Class
report-method	class: Univariate GARCH Rolling Forecast Class
residuals-method	class: ARFIMA Filter Class
residuals-method	class: ARFIMA Fit Class
residuals-method	class: ARFIMA Multiple Filter Class
residuals-method	class: ARFIMA Multiple Fit Class
residuals-method	class: GO-GARCH Filter Class
residuals-method	class: GO-GARCH Fit Class
residuals-method	class: Univariate GARCH Filter Class
residuals-method	class: Univariate GARCH Fit Class
residuals-method	class: Univariate GARCH Multiple Filter Class
residuals-method	class: Univariate GARCH Multiple Fit Class
rgarch	The rgarch package
rGARCH-class	class: rGARCH Class
rgarchdist	Distribution: rgarch distribution functions
rshape	class: DCC Fit Class
rshape-method	class: DCC Filter Class
rshape-method	class: DCC Fit Class
rshape-method	class: DCC Forecast Class
rshape-method	class: DCC Roll Class
rskew	class: DCC Fit Class
rskew-method	class: DCC Filter Class
rskew-method	class: DCC Fit Class
rskew-method	class: DCC Forecast Class
rskew-method	class: DCC Roll Class

-- S --

show-method	class: ARFIMA Parameter Distribution Class
show-method	class: ARFIMA Filter Class
show-method	class: ARFIMA Fit Class
show-method	class: ARFIMA Forecast Class
show-method	class: ARFIMA Forecast Performance Measures
show-method	class: ARFIMA Multiple Filter Class
show-method	class: ARFIMA Multiple Fit Class
show-method	class: ARFIMA Multiple Forecast Class
show-method	class: ARFIMA Multiple Specification Class
show-method	class: ARFIMA Path Simulation Class
show-method	class: ARFIMA Simulation Class
show-method	class: ARFIMA Specification Class
show-method	class: DCC Filter Class
show-method	class: DCC Fit Class
show-method	class: DCC Forecast Class
show-method	class: DCC Roll Class
show-method	class: DCC Forecast Class
show-method	class: DCC Specification Class
show-method	class: GO-GARCH Filter Class
show-method	class: GO-GARCH Fit Class
show-method	class: GO-GARCH Forecast Class
show-method	class: GO-GARCH Specification Class
show-method	class: Univariate GARCH Bootstrap Class
show-method	class: Univariate GARCH Parameter Distribution Class
show-method	class: Univariate GARCH Filter Class
show-method	class: Univariate GARCH Fit Class
show-method	class: Univariate GARCH Forecast Class
show-method	class: Univatiate GARCH Forecast Performance Measures
show-method	class: Univariate GARCH Multiple Filter Class
show-method	class: Univariate GARCH Multiple Fit Class
show-method	class: Univariate GARCH Multiple Forecast Class
show-method	class: Univariate GARCH Multiple Specification Class
show-method	class: Univariate GARCH Path Simulation Class
show-method	class: Univariate GARCH Simulation Class
show-method	class: Univariate GARCH Specification Class
sigma	class: Univariate GARCH Fit Class
sigma-method	class: DCC Filter Class
sigma-method	class: DCC Fit Class
sigma-method	class: DCC Forecast Class
sigma-method	class: DCC Roll Class
sigma-method	class: DCC Forecast Class
sigma-method	class: Univariate GARCH Filter Class
sigma-method	class: Univariate GARCH Fit Class
sigma-method	class: Univariate GARCH Multiple Filter Class
sigma-method	class: Univariate GARCH Multiple Fit Class
signbias	class: Univariate GARCH Fit Class
signbias-method	class: Univariate GARCH Filter Class
signbias-method	class: Univariate GARCH Fit Class
signbias-methods	class: Univariate GARCH Fit Class
sp500ret	data: Standard and Poors 500 Closing Value Log Return

-- U --

ugarchbench	Benchmark: The Benchmark Test Suite
ugarchboot	function: Univariate GARCH Forecast via Bootstrap
uGARCHboot-class	class: Univariate GARCH Bootstrap Class
ugarchboot-method	function: Univariate GARCH Forecast via Bootstrap
ugarchboot-methods	function: Univariate GARCH Forecast via Bootstrap
ugarchdistribution	function: Univariate GARCH Parameter Distribution via Simulation
uGARCHdistribution-class	class: Univariate GARCH Parameter Distribution Class
ugarchdistribution-method	function: Univariate GARCH Parameter Distribution via Simulation
ugarchdistribution-methods	function: Univariate GARCH Parameter Distribution via Simulation
ugarchfilter	function: Univariate GARCH Filtering
uGARCHfilter-class	class: Univariate GARCH Filter Class
ugarchfilter-method	function: Univariate GARCH Filtering
ugarchfilter-methods	function: Univariate GARCH Filtering
ugarchfit	function: Univariate GARCH Fitting
uGARCHfit-class	class: Univariate GARCH Fit Class
ugarchfit-method	function: Univariate GARCH Fitting
ugarchfit-methods	function: Univariate GARCH Fitting
ugarchforecast	function: Univariate GARCH Forecasting
uGARCHforecast-class	class: Univariate GARCH Forecast Class
ugarchforecast-method	function: Univariate GARCH Forecasting
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	function: Univariate GARCH Path Simulation
uGARCHpath-class	class: Univariate GARCH Path Simulation Class
ugarchpath-method	function: Univariate GARCH Path Simulation
ugarchpath-methods	function: Univariate GARCH Path Simulation
ugarchroll	function: Univariate GARCH Rolling Density Forecast and Backtesting
uGARCHroll-class	class: Univariate GARCH Rolling Forecast Class
ugarchroll-method	function: Univariate GARCH Rolling Density Forecast and Backtesting
ugarchroll-methods	function: Univariate GARCH Rolling Density Forecast and Backtesting
ugarchsim	function: Univariate GARCH Simulation
uGARCHsim-class	class: Univariate GARCH Simulation Class
ugarchsim-method	function: Univariate GARCH Simulation
ugarchsim-methods	function: Univariate GARCH Simulation
ugarchspec	function: Univariate GARCH Specification
uGARCHspec-class	class: Univariate GARCH Specification Class
ugarchspec-method	function: Univariate GARCH Specification
ugarchspec-methods	function: Univariate GARCH Specification
uncmean	class: Univariate GARCH Fit Class
uncmean-method	class: ARFIMA Filter Class
uncmean-method	class: ARFIMA Fit Class
uncmean-method	class: Univariate GARCH Filter Class
uncmean-method	class: Univariate GARCH Fit Class
uncmean-method	class: Univariate GARCH Specification Class
uncvar-method	class: Univariate GARCH Fit Class
uncvariance	class: Univariate GARCH Fit Class
uncvariance-method	class: Univariate GARCH Filter Class
uncvariance-method	class: Univariate GARCH Fit Class
uncvariance-method	class: Univariate GARCH Specification Class

-- W --

WeekDayDummy	function: Create Dummy Day-of-Week Variable
WeekDayDummy-method	function: Create Dummy Day-of-Week Variable
WeekDayDummy-methods	function: Create Dummy Day-of-Week Variable