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rugarch - Univariate GARCH Models

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

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cpp

12.47 score 31 stars 20 dependents 2.7k scripts 75k downloads

Rsolnp - General Non-Linear Optimization

General Non-linear Optimization Using Augmented Lagrange Multiplier Method.

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nonlinear-optimizationoptimizationsolversopenblascpp

11.21 score 2 stars 121 dependents 385 scripts 83k downloads

rmgarch - Multivariate GARCH Models

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

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openblascppopenmp

8.42 score 18 stars 2 dependents 407 scripts 4.0k 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.

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garchcpp

6.79 score 19 stars 1 dependents 36 scripts 654 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.

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distributionsfinanceprobability-distributionprobability-distributionsstatistical-distributionstimeseriescpp

6.24 score 4 stars 3 dependents 24 scripts 716 downloads

tsissm - Linear Innovations State Space Unobserved Components Model

Unobserved components time series model using the linear innovations state space representation (single source of error) with choice of error distributions and option for dynamic variance. Methods for estimation using automatic differentiation, automatic model selection and ensembling, prediction, filtering, simulation and backtesting. Based on the model described in Hyndman et al (2012) <doi:10.1198/jasa.2011.tm09771>.

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forecastingtime-seriescpp

5.65 score 3 stars 5 scripts 316 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>.

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econometricsfinancegarchmultivariate-timeseriestime-seriesopenblascpp

5.47 score 11 stars 18 scripts 643 downloads

spd - Semi Parametric Distribution

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

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4.85 score 21 dependents 14 scripts 16k 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.

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4.73 score 3 stars 6 dependents 3 scripts 367 downloads

tsaux - Time Series Forecasting Auxiliary Functions

A suite of auxiliary functions that enhance time series estimation and forecasting, including a robust anomaly detection routine based on Chen and Liu (1993) <doi:10.2307/2290724> (imported and wrapped from the 'tsoutliers' package), utilities for managing calendar and time conversions, performance metrics to assess both point forecasts and distributional predictions, advanced simulation by allowing the generation of time series components—such as trend, seasonal, ARMA, irregular, and anomalies—in a modular fashion based on the innovations form of the state space model and a number of transformation methods including Box-Cox, Logit, 'Softplus-Logit' and Sigmoid.

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4.48 score 1 stars 1 dependents 8 scripts 572 downloads

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.

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openblas

4.48 score 4 stars 15 scripts 424 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.

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forecastingstatistical-tests

4.40 score 5 stars 5 scripts 655 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>.

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mathematical-functionsrcppstatisticscpp

4.18 score 1 stars 1 dependents 5 scripts 646 downloads