rugarch - Univariate GARCH Models

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

Last updated 3 months ago

cpp

12.25 score 26 stars 16 dependents 1.3k scripts 46k downloads

rmgarch - Multivariate GARCH Models

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

Last updated 3 months ago

openblascppopenmp

8.51 score 14 stars 2 dependents 294 scripts 8.8k downloads

Rsolnp - General Non-Linear Optimization

General Non-linear Optimization Using Augmented Lagrange Multiplier Method.

Last updated 3 years ago

8.47 score 2 stars 119 dependents 282 scripts 21k downloads

tsgarch - Univariate GARCH Models

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

Last updated 4 months ago

garchcpp

6.93 score 13 stars 1 dependents 16 scripts 481 downloads

tsdistributions - Location Scale Standardized Distributions

Location-Scale based distributions parameterized in terms of mean, standard deviation, skew and shape parameters and estimation using automatic differentiation. Distributions include the Normal, Student and GED as well as their skewed variants ('Fernandez and Steel'), the 'Johnson SU', and the Generalized Hyperbolic. Also included is the semi-parametric piece wise distribution ('spd') with Pareto tails and kernel interior.

Last updated 5 months ago

distributionsfinanceprobability-distributionprobability-distributionsstatistical-distributionstimeseriescpp

6.66 score 4 stars 2 dependents 19 scripts 524 downloads

tsmarch - Multivariate ARCH Models

Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.

Last updated 10 days ago

econometricsfinancegarchmultivariate-timeseriestime-seriesopenblascpp

5.80 score 7 stars 3 scripts 503 downloads

tsmethods - Time Series Methods

Generic methods for use in a time series probabilistic framework, allowing for a common calling convention across packages. Additional methods for time series prediction ensembles and probabilistic plotting of predictions is included. A more detailed description is available at <https://www.nopredict.com/packages/tsmethods> which shows the currently implemented methods in the 'tsmodels' framework.

Last updated 5 months ago

5.26 score 3 stars 4 dependents 1 scripts 579 downloads

tstests - Time Series Goodness of Fit and Forecast Evaluation Tests

Goodness of Fit and Forecast Evaluation Tests for timeseries models. Includes, among others, the Generalized Method of Moments (GMM) Orthogonality Test of Hansen (1982), the Nyblom (1989) parameter constancy test, the sign-bias test of Engle and Ng (1993), and a range of tests for value at risk and expected shortfall evaluation.

Last updated 5 months ago

forecastingstatistical-tests

5.10 score 5 stars 3 scripts 696 downloads

RcppBessel - Bessel Functions Rcpp Interface

Exports an 'Rcpp' interface for the Bessel functions in the 'Bessel' package, which can then be called from the 'C++' code of other packages. For the original 'Fortran' implementation of these functions see Amos (1995) <doi:10.1145/212066.212078>.

Last updated 7 months ago

mathematical-functionsrcppstatisticscpp

4.65 score 1 stars 1 dependents 4 scripts 242 downloads

tsaux - Time Series Forecasting Auxiliary Functions

General purpose calendar and auxiliary functions including normalizing transformations, outlier detection and forecast metrics for time series.

Last updated 6 days ago

4.48 score 1 stars

parma - Portfolio Allocation and Risk Management Applications

Provision of a set of models and methods for use in the allocation and management of capital in financial portfolios.

Last updated 2 years ago

openblas

4.38 score 4 stars 12 scripts 438 downloads

spd - Semi Parametric Distribution

The Semi Parametric Piecewise Distribution blends the Generalized Pareto Distribution for the tails with a kernel based interior.

Last updated 10 years ago

4.38 score 17 dependents 9 scripts 9.3k downloads