rugarch - Univariate GARCH Models
ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.
Last updated 1 months ago
cpp
12.14 score 26 stars 16 dependents 1.3k scripts 35k downloadsrmgarch - Multivariate GARCH Models
Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.
Last updated 1 months ago
openblascppopenmp
8.45 score 14 stars 2 dependents 294 scripts 7.6k downloadsRsolnp - General Non-Linear Optimization
General Non-linear Optimization Using Augmented Lagrange Multiplier Method.
Last updated 3 years ago
8.39 score 2 stars 119 dependents 282 scripts 17k downloadstsgarch - 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 2 months ago
garchcpp
6.97 score 13 stars 1 dependents 16 scripts 574 downloadstsdistributions - 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 3 months ago
distributionsfinanceprobability-distributionprobability-distributionsstatistical-distributionstimeseriescpp
6.74 score 4 stars 2 dependents 19 scripts 492 downloadstsmarch - 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 2 months ago
econometricsfinancegarchmultivariate-timeseriestime-seriesopenblascpp
5.57 score 5 stars 2 scripts 419 downloadststests - 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 3 months ago
forecastingstatistical-tests
5.10 score 5 stars 3 scripts 653 downloadstsmethods - 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 3 months ago
5.08 score 2 stars 4 dependents 1 scripts 543 downloadsRcppBessel - 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 5 months ago
mathematical-functionsrcppstatisticscpp
4.65 score 1 stars 1 dependents 4 scripts 275 downloadsparma - 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 329 downloadsspd - 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
4.22 score 17 dependents 9 scripts 6.6k downloads