Package: rmgarch 1.4-2

rmgarch: Multivariate GARCH Models

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

Authors:Alexios Galanos [aut, cre, cph]

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manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
rmgarch/json (API)

# Install 'rmgarch' in R:

install.packages('rmgarch', repos = c('https://alexiosg.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/alexiosg/rmgarch/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3
openmp– GCC OpenMP (GOMP) support library

Datasets:

dji30retw - Data: Dow Jones 30 Constituents Closing Value log Weekly Return

On CRAN:

openblas cpp openmp

8.42 score 18 stars 2 packages 407 scripts 4.0k downloads 3 mentions 48 exports 43 dependencies

Last updated from:a037a959d3. Checks:11 NOTE, 2 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	NOTE	240
linux-devel-x86_64	NOTE	289
source / vignettes	OK	317
linux-release-arm64	NOTE	235
linux-release-x86_64	NOTE	267
macos-release-arm64	NOTE	164
macos-release-x86_64	NOTE	422
macos-oldrel-arm64	NOTE	146
macos-oldrel-x86_64	NOTE	288
windows-devel	NOTE	346
windows-release	NOTE	284
windows-oldrel	NOTE	365
wasm-release	OK	122

Exports:as.matrix betacokurt betacoskew betacovar cgarchfilter cgarchfit cgarchsim cgarchspec convolution cordist dccfilter dccfit dccforecast dccroll dccsim dccspec DCCtest dfft fastica first fmoments fscenario gogarchfilter gogarchfit gogarchforecast gogarchroll gogarchsim gogarchspec goget goload gportmoments last nisurface nportmoments pfft qfft radical rcokurt rcor rcoskew rcov rshape rskew varxfilter varxfit varxforecast varxsim wmargin

Dependencies:Bessel bit chron codetools corpcor digest DistributionUtils ff FNN fracdiff future future.apply GeneralizedHyperbolic globals gmp kernlab KernSmooth ks lattice listenv MASS Matrix mclust mgcv multicool mvtnorm nlme nloptr numDeriv parallelly pcaPP pracma Rcpp RcppArmadillo Rmpfr Rsolnp rugarch shape SkewHyperbolic spd truncnorm xts zoo

The rmgarch models: Background and properties

Introduction | Multivariate GARCH Models | Miscellaneous | Appendices

Rendered fromThe_rmgarch_models.Rnwusingutils::Sweave

Last update: 2022-02-02
Started: 2014-03-27

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
The rmgarch package	rmgarch-package rmgarch
class: Copula Filter Class	cGARCHfilter-class coef,cGARCHfilter-method fitted,cGARCHfilter-method likelihood,cGARCHfilter-method rcor,cGARCHfilter-method rcov,cGARCHfilter-method residuals,cGARCHfilter-method rshape,cGARCHfilter-method rskew,cGARCHfilter-method show,cGARCHfilter-method sigma,cGARCHfilter-method
function: Copula-GARCH Filter	cgarchfilter cgarchfilter,ANY-method cgarchfilter,cGARCHspec-method
class: Copula Fit Class	cGARCHfit-class coef,cGARCHfit-method fitted,cGARCHfit-method likelihood,cGARCHfit-method rcor,cGARCHfit-method rcov,cGARCHfit-method residuals,cGARCHfit-method rshape,cGARCHfit-method rskew,cGARCHfit-method show,cGARCHfit-method sigma,cGARCHfit-method
function: Copula-GARCH Fit	cgarchfit cgarchfit,ANY-method cgarchfit,cGARCHspec-method
class: Copula Simulation Class	cGARCHsim-class fitted,cGARCHsim-method rcor,cGARCHsim-method rcov,cGARCHsim-method show,cGARCHsim-method sigma,cGARCHsim-method
function: Copula-GARCH Simulation	cgarchsim cgarchsim,ANY-method cgarchsim,cGARCHfit-method
class: Copula Specification Class	cGARCHspec-class setfixed<-,cGARCHspec,vector-method setstart<-,cGARCHspec,vector-method show,cGARCHspec-method
function: Copula-GARCH Specification	cgarchspec cgarchspec,ANY-method cgarchspec,uGARCHmultispec-method
A Correlation Distance Measure	cordist
class: DCC Filter Class	coef,DCCfilter-method DCCfilter-class fitted,DCCfilter-method likelihood,DCCfilter-method nisurface,DCCfilter-method plot,DCCfilter,missing-method rcor,DCCfilter-method rcov,DCCfilter-method residuals,DCCfilter-method rshape,DCCfilter-method rskew,DCCfilter-method show,DCCfilter-method sigma,DCCfilter-method
function: DCC-GARCH Filter	dccfilter dccfilter,ANY-method dccfilter,DCCspec-method
class: DCC Fit Class	coef,DCCfit-method DCCfit-class fitted,DCCfit-method infocriteria,DCCfit-method likelihood,DCCfit-method nisurface,DCCfit-method plot,DCCfit,missing-method rcor,DCCfit-method rcov,DCCfit-method residuals,DCCfit-method rshape rshape,DCCfit-method rskew rskew,DCCfit-method show,DCCfit-method sigma,DCCfit-method
function: DCC-GARCH Fit	dccfit dccfit,ANY-method dccfit,DCCspec-method
class: DCC Forecast Class	DCCforecast-class fitted,DCCforecast-method plot,DCCforecast,missing-method rcor,DCCforecast-method rcov,DCCforecast-method rshape,DCCforecast-method rskew,DCCforecast-method show,DCCforecast-method sigma,DCCforecast-method
function: DCC-GARCH Forecast	dccforecast dccforecast,ANY-method dccforecast,DCCfit-method
class: DCC Roll Class	coef,DCCroll-method DCCroll-class fitted,DCCroll-method likelihood,DCCroll-method plot,DCCroll,missing-method rcor,DCCroll-method rcov,DCCroll-method rshape,DCCroll-method rskew,DCCroll-method show,DCCroll-method sigma,DCCroll-method
function: DCC-GARCH Rolling Forecast	dccroll dccroll,ANY-method dccroll,DCCspec-method
class: DCC Simulation Class	DCCsim-class fitted,DCCsim-method rcor,DCCsim-method rcov,DCCsim-method show,DCCsim-method sigma,DCCsim-method
function: DCC-GARCH Simulation	dccsim dccsim,ANY-method dccsim,DCCfit-method dccsim,DCCspec-method
class: DCC Specification Class	DCCspec-class setfixed<-,DCCspec,vector-method setstart<-,DCCspec,vector-method show,DCCspec-method
function: DCC-GARCH Specification	dccspec dccspec,ANY-method dccspec,uGARCHmultispec-method
Engle and Sheppard Test of Dynamic Correlation	DCCtest
data: Dow Jones 30 Constituents Closing Value log Weekly Return	dji30retw
Fast Fixed Point ICA	fastica
Class '"fMoments"'	fitted,fMoments-method fMoments-class rcokurt,fMoments-method rcoskew,fMoments-method rcov,fMoments-method show,fMoments-method
Moment Based Forecast Generation	fmoments fmoments,ANY-method fmoments-methods
Class '"fScenario"'	fitted,fScenario-method fScenario-class goget goget,ANY-method goget,fScenario-method show,fScenario-method
Scenario Generation	fscenario fscenario,ANY-method fscenario-methods
Class: GO-GARCH portfolio density	dfft dfft,goGARCHfft-method goGARCHfft-class nportmoments nportmoments,goGARCHfft-method pfft pfft,goGARCHfft-method qfft qfft,goGARCHfft-method
class: GO-GARCH Filter Class	as.matrix,goGARCHfilter-method betacokurt,goGARCHfilter-method betacoskew,goGARCHfilter-method betacovar,goGARCHfilter-method coef,goGARCHfilter-method convolution,goGARCHfilter-method fitted,goGARCHfilter-method goGARCHfilter-class gportmoments,goGARCHfilter-method likelihood,goGARCHfilter-method nisurface,goGARCHfilter-method rcokurt,goGARCHfilter-method rcor,goGARCHfilter-method rcoskew,goGARCHfilter-method rcov,goGARCHfilter-method residuals,goGARCHfilter-method show,goGARCHfilter-method
function: GO-GARCH Filter	gogarchfilter gogarchfilter,ANY-method gogarchfilter,goGARCHfit-method
class: GO-GARCH Fit Class	as.matrix,goGARCHfit-method betacokurt betacokurt,goGARCHfit-method betacoskew betacoskew,goGARCHfit-method betacovar betacovar,goGARCHfit-method coef,goGARCHfit-method convolution convolution,goGARCHfit-method fitted,goGARCHfit-method goGARCHfit-class gportmoments gportmoments,goGARCHfit-method likelihood,goGARCHfit-method nisurface nisurface,goGARCHfit-method rcokurt rcokurt,goGARCHfit-method rcor rcor,goGARCHfit-method rcoskew rcoskew,goGARCHfit-method rcov rcov,goGARCHfit-method residuals,goGARCHfit-method show,goGARCHfit-method
function: GO-GARCH Filter	gogarchfit gogarchfit,ANY-method gogarchfit,goGARCHspec-method
class: GO-GARCH Forecast Class	as.matrix,goGARCHforecast-method betacokurt,goGARCHforecast-method betacoskew,goGARCHforecast-method betacovar,goGARCHforecast-method coef,goGARCHforecast-method convolution,goGARCHforecast-method fitted,goGARCHforecast-method goGARCHforecast-class gportmoments,goGARCHforecast-method rcokurt,goGARCHforecast-method rcor,goGARCHforecast-method rcoskew,goGARCHforecast-method rcov,goGARCHforecast-method show,goGARCHforecast-method sigma,goGARCHforecast-method
function: GO-GARCH Forecast	gogarchforecast gogarchforecast,ANY-method gogarchforecast,goGARCHfit-method gogarchforecast-methods
class: GO-GARCH Roll Class	coef,goGARCHroll-method convolution,goGARCHroll-method fitted,goGARCHroll-method goGARCHroll-class gportmoments,goGARCHroll-method rcokurt,goGARCHroll-method rcor,goGARCHroll-method rcoskew,goGARCHroll-method rcov,goGARCHroll-method sigma,goGARCHroll-method
function: GO-GARCH Rolling Estimation	gogarchroll gogarchroll,ANY-method gogarchroll,goGARCHspec-method
class: GO-GARCH Simulation Class	as.matrix,goGARCHsim-method convolution,goGARCHsim-method goGARCHsim-class gportmoments,goGARCHsim-method rcokurt,goGARCHsim-method rcor,goGARCHsim-method rcoskew,goGARCHsim-method rcov,goGARCHsim-method
function: GO-GARCH Simulation	gogarchsim gogarchsim,ANY-method gogarchsim,goGARCHfilter-method gogarchsim,goGARCHfit-method
class: GO-GARCH Specification Class	goGARCHspec-class show,goGARCHspec-method
function: GO-GARCH Specification	gogarchspec gogarchspec,ANY-method gogarchspec-methods
Load Scenario from File	goload goload,ANY-method goload,fMoments-method goload,fScenario-method goload-methods
First and Last methods for accessing objects	first first,ANY-method first,array-method first-methods last last,ANY-method last,array-method last-methods
Class: Multivariate GARCH Filter Class	mGARCHfilter-class
Class: Multivariate GARCH Fit Class	mGARCHfit-class
Class: Multivariate GARCH Forecast Class	mGARCHforecast-class
Class: Multivariate GARCH Roll Class	mGARCHroll-class
Class: Multivariate GARCH Simulation Class	mGARCHsim-class
Class: Multivariate GARCH Specification	mGARCHspec-class
The Robust Accurate, Direct ICA aLgorithm (RADICAL).	radical
VARX Fit/Filter/Forecast/Simulation Functions	varxfilter varxfit varxforecast varxsim
Weighted Distribution Margin	wmargin