Univariate GARCH Models

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Documentation for package ‘rugarch’ version 1.5-3

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A B C D E F G H I L M N P Q R S U V

rugarch-package The rugarch package

-- A --

ARFIMA-class class: High Level ARFIMA class
arfimacv ARFIMAX time series cross validation
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
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.data.frame-method class: ARFIMA Parameter Distribution Class
as.data.frame-method class: ARFIMA Rolling Forecast 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 Rolling Forecast Class
autoarfima Automatic Model Selection for ARFIMA models

-- B --

BerkowitzTest Berkowitz Density Forecast Likelihood Ratio Test

-- 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: ARFIMA Rolling Forecast 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
coef-method class: Univariate GARCH Rolling Forecast Class
confint-method class: Univariate GARCH Fit Class
convergence class: Univariate GARCH Fit Class
convergence-method class: ARFIMA Fit Class
convergence-method class: Univariate GARCH Fit Class
convergence-method class: Univariate GARCH Rolling Forecast Class

-- D --

DACTest Directional Accuracy Test
ddist Distribution: rugarch distribution functions
distplot Distribution: rugarch distribution functions
dji30ret data: Dow Jones 30 Constituents Closing Value Log Return
dkurtosis Distribution: rugarch distribution functions
dmbp data: Deutschemark/British pound Exchange Rate
dskewness Distribution: rugarch distribution functions

-- E --

ESTest Expected Shortfall Test.

-- F --

fitdist Distribution: rugarch distribution functions
fitted-method class: ARFIMA Filter Class
fitted-method class: ARFIMA Fit Class
fitted-method class: ARFIMA Forecast Class
fitted-method class: ARFIMA Multiple Filter Class
fitted-method class: ARFIMA Multiple Fit Class
fitted-method class: ARFIMA Multiple Forecast Class
fitted-method class: ARFIMA Path Simulation Class
fitted-method class: ARFIMA Simulation Class
fitted-method class: Univariate GARCH Filter Class
fitted-method class: Univariate GARCH Fit Class
fitted-method class: Univariate GARCH Forecast Class
fitted-method class: Univariate GARCH Multiple Filter Class
fitted-method class: Univariate GARCH Multiple Fit Class
fitted-method class: Univariate GARCH Multiple Forecast Class
fitted-method class: Univariate GARCH Path Simulation Class
fitted-method class: Univariate GARCH Simulation Class
fpm class: Univariate GARCH Forecast Class
fpm-method class: ARFIMA Forecast Class
fpm-method class: ARFIMA Rolling Forecast Class
fpm-method class: Univariate GARCH Forecast Class
fpm-method class: Univariate GARCH Rolling Forecast Class
ftseq A small set of utilities to work with some time and date classes.

-- 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
generatefwd A small set of utilities to work with some time and date classes.
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
GMMTest The GMM Orthogonality Test of Hansen
gof class: Univariate GARCH Fit Class
gof-method class: Univariate GARCH Filter Class
gof-method class: Univariate GARCH Fit Class

-- H --

halflife class: Univariate GARCH Fit Class
halflife-method class: Univariate GARCH Filter Class
halflife-method class: Univariate GARCH Fit Class
halflife-method class: Univariate GARCH Specification Class
HLTest The Non-Parametric Density Test of Hong and Li

-- I --

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

-- L --

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: 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 --

mcsTest Model Confidence Set Test
move A small set of utilities to work with some time and date classes.
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
nyblom class: Univariate GARCH Fit Class
nyblom-method class: Univariate GARCH Fit Class

-- P --

pdist Distribution: rugarch distribution functions
persistence class: Univariate GARCH Fit Class
persistence-method class: Univariate GARCH Filter Class
persistence-method class: Univariate GARCH Fit Class
persistence-method class: Univariate GARCH Specification Class
pit class: Univariate GARCH Fit Class
pit-method class: Univariate GARCH Filter Class
pit-method class: Univariate GARCH Fit Class
pit-method class: Univariate GARCH Rolling Forecast 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: rugarch distribution functions
qgh Functions exported for use in rmgarch
qnig Functions exported for use in rmgarch
quantile-method class: Univariate GARCH Filter Class
quantile-method class: Univariate GARCH Fit Class
quantile-method class: Univariate GARCH Forecast Class
quantile-method class: Univariate GARCH Path Simulation Class
quantile-method class: Univariate GARCH Rolling Forecast Class
quantile-method class: Univariate GARCH Simulation Class

-- R --

rdist Distribution: rugarch distribution functions
reduce class: Univariate GARCH Fit Class
reduce-method class: ARFIMA Fit Class
reduce-method class: Univariate GARCH Fit Class
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: 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
resume class: Univariate GARCH Rolling Forecast Class
resume-method class: ARFIMA Rolling Forecast Class
resume-method class: Univariate GARCH Rolling Forecast Class
rGARCH-class class: rGARCH Class
rgarchdist Distribution: rugarch distribution functions
rugarch The rugarch package

-- S --

setbounds<- class: Univariate GARCH Specification Class
setbounds<--method class: ARFIMA Specification Class
setbounds<--method class: Univariate GARCH Specification Class
setfixed<- class: Univariate GARCH Specification Class
setfixed<--method class: ARFIMA Specification Class
setfixed<--method class: Univariate GARCH Specification Class
setstart<- class: Univariate GARCH Specification Class
setstart<--method class: ARFIMA Specification Class
setstart<--method class: Univariate GARCH Specification Class
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 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 Rolling Forecast Class
show-method class: ARFIMA Simulation Class
show-method class: ARFIMA 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: 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 Rolling Forecast Class
show-method class: Univariate GARCH Simulation Class
show-method class: Univariate GARCH Specification Class
sigma class: Univariate GARCH Fit Class
sigma-method class: Univariate GARCH Filter Class
sigma-method class: Univariate GARCH Fit Class
sigma-method class: Univariate GARCH Forecast Class
sigma-method class: Univariate GARCH Multiple Filter Class
sigma-method class: Univariate GARCH Multiple Fit Class
sigma-method class: Univariate GARCH Multiple Forecast Class
sigma-method class: Univariate GARCH Path Simulation Class
sigma-method class: Univariate GARCH Simulation 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
skdomain Distribution: rugarch distribution functions
sp500ret data: Standard and Poors 500 Closing Value Log Return
spyreal data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility

-- 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
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: ARFIMA Specification Class
uncmean-method class: Univariate GARCH Filter Class
uncmean-method class: Univariate GARCH Fit Class
uncmean-method class: Univariate GARCH Specification 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

-- V --

VaRDurTest VaR Duration Test
VaRloss Value at Risk loss function of Gonzalez-Rivera, Lee, and Mishra (2004)
VaRplot Value at Risk Exceedances plot
VaRTest Value at Risk Exceedances Test
vcov-method class: ARFIMA Fit Class
vcov-method class: Univariate GARCH Fit Class