Package: rmgarch 1.4-0

rmgarch: Multivariate GARCH Models

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

Authors:Alexios Galanos <[email protected]>

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

Peer review:

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:

8.37 score 12 stars 2 packages 272 scripts 8.0k downloads 3 mentions 48 exports 36 dependencies

Last updated 3 years agofrom:26501ac336. Checks:OK: 1 NOTE: 8. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 11 2024
R-4.5-win-x86_64NOTEOct 11 2024
R-4.5-linux-x86_64NOTEOct 11 2024
R-4.4-win-x86_64NOTEOct 11 2024
R-4.4-mac-x86_64NOTEOct 11 2024
R-4.4-mac-aarch64NOTEOct 11 2024
R-4.3-win-x86_64NOTEOct 11 2024
R-4.3-mac-x86_64NOTEOct 11 2024
R-4.3-mac-aarch64NOTEOct 11 2024

Exports:as.matrixbetacokurtbetacoskewbetacovarcgarchfiltercgarchfitcgarchsimcgarchspecconvolutioncordistdccfilterdccfitdccforecastdccrolldccsimdccspecDCCtestdfftfasticafirstfmomentsfscenariogogarchfiltergogarchfitgogarchforecastgogarchrollgogarchsimgogarchspecgogetgoloadgportmomentslastnisurfacenportmomentspfftqfftradicalrcokurtrcorrcoskewrcovrshaperskewvarxfiltervarxfitvarxforecastvarxsimwmargin

Dependencies:BesselbitchroncorpcorDistributionUtilsffFNNfracdiffGeneralizedHyperbolicgmpkernlabKernSmoothkslatticeMASSMatrixmclustmgcvmulticoolmvtnormnlmenloptrnumDerivpcaPPpracmaRcppRcppArmadilloRmpfrRsolnprugarchshapeSkewHyperbolicspdtruncnormxtszoo

The rmgarch models: Background and properties

Rendered fromThe_rmgarch_models.Rnwusingutils::Sweaveon Oct 11 2024.

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

Readme and manuals

Help Manual

Help pageTopics
The rmgarch packagermgarch-package rmgarch
class: Copula Filter ClasscGARCHfilter-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 Filtercgarchfilter cgarchfilter,ANY-method cgarchfilter,cGARCHspec-method
class: Copula Fit ClasscGARCHfit-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 Fitcgarchfit cgarchfit,ANY-method cgarchfit,cGARCHspec-method
class: Copula Simulation ClasscGARCHsim-class fitted,cGARCHsim-method rcor,cGARCHsim-method rcov,cGARCHsim-method show,cGARCHsim-method sigma,cGARCHsim-method
function: Copula-GARCH Simulationcgarchsim cgarchsim,ANY-method cgarchsim,cGARCHfit-method
class: Copula Specification ClasscGARCHspec-class setfixed<-,cGARCHspec,vector-method setstart<-,cGARCHspec,vector-method show,cGARCHspec-method
function: Copula-GARCH Specificationcgarchspec cgarchspec,ANY-method cgarchspec,uGARCHmultispec-method
A Correlation Distance Measurecordist
class: DCC Filter Classcoef,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 Filterdccfilter dccfilter,ANY-method dccfilter,DCCspec-method
class: DCC Fit Classcoef,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 Fitdccfit dccfit,ANY-method dccfit,DCCspec-method
class: DCC Forecast ClassDCCforecast-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 Forecastdccforecast dccforecast,ANY-method dccforecast,DCCfit-method
class: DCC Roll Classcoef,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 Forecastdccroll dccroll,ANY-method dccroll,DCCspec-method
class: DCC Forecast ClassDCCsim-class fitted,DCCsim-method rcor,DCCsim-method rcov,DCCsim-method show,DCCsim-method sigma,DCCsim-method
function: DCC-GARCH Simulationdccsim dccsim,ANY-method dccsim,DCCfit-method dccsim,DCCspec-method
class: DCC Specification ClassDCCspec-class setfixed<-,DCCspec,vector-method setstart<-,DCCspec,vector-method show,DCCspec-method
function: DCC-GARCH Specificationdccspec dccspec,ANY-method dccspec,uGARCHmultispec-method
Engle and Sheppard Test of Dynamic CorrelationDCCtest
data: Dow Jones 30 Constituents Closing Value log Weekly Returndji30retw
Fast Fixed Point ICAfastica
Class '"fMoments"'fitted,fMoments-method fMoments-class rcokurt,fMoments-method rcoskew,fMoments-method rcov,fMoments-method show,fMoments-method
Moment Based Forecast Generationfmoments fmoments,ANY-method fmoments-methods
Class '"fScenario"'fitted,fScenario-method fScenario-class goget goget,ANY-method goget,fScenario-method show,fScenario-method
Scenario Generationfscenario fscenario,ANY-method fscenario-methods
Class: GO-GARCH portfolio densitydfft dfft,goGARCHfft-method goGARCHfft-class nportmoments nportmoments,goGARCHfft-method pfft pfft,goGARCHfft-method qfft qfft,goGARCHfft-method
class: GO-GARCH Filter Classas.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 Filtergogarchfilter gogarchfilter,ANY-method gogarchfilter,goGARCHfit-method
class: GO-GARCH Fit Classas.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 Filtergogarchfit gogarchfit,ANY-method gogarchfit,goGARCHspec-method
class: GO-GARCH Forecast Classas.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 Forecastgogarchforecast gogarchforecast,ANY-method gogarchforecast,goGARCHfit-method gogarchforecast-methods
class: GO-GARCH Roll Classcoef,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 Estimationgogarchroll gogarchroll,ANY-method gogarchroll,goGARCHspec-method
class: GO-GARCH Simultion Classas.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 Simulationgogarchsim gogarchsim,ANY-method gogarchsim,goGARCHfilter-method gogarchsim,goGARCHfit-method
class: GO-GARCH Specification ClassgoGARCHspec-class show,goGARCHspec-method
function: GO-GARCH Specificationgogarchspec gogarchspec,ANY-method gogarchspec-methods
Load Scenario from Filegoload goload,ANY-method goload,fMoments-method goload,fScenario-method goload-methods
First and Last methods for accessing objectsfirst first,ANY-method first,array-method first-methods last last,ANY-method last,array-method last-methods
Class: Multivariate GARCH Filter ClassmGARCHfilter-class
Class: Multivariate GARCH Fit ClassmGARCHfit-class
Class: Multivariate GARCH Forecast ClassmGARCHforecast-class
Class: Multivariate GARCH Roll ClassmGARCHroll-class
Class: Multivariate GARCH Simulation ClassmGARCHsim-class
Class: Multivariate GARCH SpecificationmGARCHspec-class
The Robust Accurate, Direct ICA aLgorithm (RADICAL).radical
VARX Fit/Filter/Forecast/Simulation Functionsvarxfilter varxfit varxforecast varxsim
Weighted Distribution Marginwmargin