Package: rugarch 1.5-3

rugarch: Univariate GARCH Models

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

Authors:Alexios Galanos [aut, cre], Tobias Kley [ctb]

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rugarch.pdf |rugarch.html✨
rugarch/json (API)

# Install 'rugarch' in R:

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

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

Uses libs:

c++– GNU Standard C++ Library v3

Datasets:

dji30ret - Data: Dow Jones 30 Constituents Closing Value Log Return
dmbp - Data: Deutschemark/British pound Exchange Rate
sp500ret - Data: Standard and Poors 500 Closing Value Log Return
spyreal - Data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility

On CRAN:

11.91 score 23 stars 16 packages 1.2k scripts 39k downloads 4 mentions 79 exports 27 dependencies

Last updated 2 months agofrom:a0d2744dd3. Checks:OK: 9. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Oct 22 2024
R-4.5-win-x86_64	OK	Oct 22 2024
R-4.5-linux-x86_64	OK	Oct 22 2024
R-4.4-win-x86_64	OK	Oct 22 2024
R-4.4-mac-x86_64	OK	Oct 22 2024
R-4.4-mac-aarch64	OK	Oct 22 2024
R-4.3-win-x86_64	OK	Oct 22 2024
R-4.3-mac-x86_64	OK	Oct 22 2024
R-4.3-mac-aarch64	OK	Oct 22 2024

Exports:arfimacv arfimadistribution arfimafilter arfimafit arfimaforecast arfimapath arfimaroll arfimasim arfimaspec as.data.frame autoarfima BerkowitzTest coef confint convergence DACTest ddist distplot dkurtosis dskewness ESTest fitdist fitted fpm ftseq generatefwd getspec ghyptransform GMMTest gof halflife HLTest infocriteria likelihood mcsTest move multifilter multifit multiforecast multispec newsimpact nyblom pdist persistence pit plot qdist qgh qnig quantile rdist reduce report residuals resume setbounds<-setfixed<-setstart<-show sigma signbias skdomain ugarchbench ugarchboot ugarchdistribution ugarchfilter ugarchfit ugarchforecast ugarchpath ugarchroll ugarchsim ugarchspec uncmean uncvariance VaRDurTest VaRloss VaRplot VaRTest vcov

Dependencies:chron DistributionUtils FNN fracdiff GeneralizedHyperbolic kernlab KernSmooth ks lattice MASS Matrix mclust mgcv multicool mvtnorm nlme nloptr numDeriv pracma Rcpp RcppArmadillo Rsolnp SkewHyperbolic spd truncnorm xts zoo

Introduction to the rugarch package

Rendered fromIntroduction_to_the_rugarch_package.Rnwusingutils::Sweaveon Oct 22 2024.

Last update: 2024-08-19
Started: 2014-03-20

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
The rugarch package	rugarch-package rugarch
class: High Level ARFIMA class	ARFIMA-class
ARFIMAX time series cross validation	arfimacv
class: ARFIMA Parameter Distribution Class	ARFIMAdistribution-class as.data.frame,ARFIMAdistribution-method show,ARFIMAdistribution-method
function: ARFIMA Parameter Distribution via Simulation	arfimadistribution arfimadistribution,ANY-method arfimadistribution,ARFIMAfit-method arfimadistribution,ARFIMAspec-method arfimadistribution-methods
class: ARFIMA Filter Class	ARFIMAfilter-class coef,ARFIMAfilter-method fitted,ARFIMAfilter-method infocriteria,ARFIMAfilter-method likelihood,ARFIMAfilter-method residuals,ARFIMAfilter-method show,ARFIMAfilter-method uncmean,ARFIMAfilter-method
function: ARFIMA Filtering	arfimafilter arfimafilter,ANY-method arfimafilter,ARFIMAspec-method arfimafilter-methods
class: ARFIMA Fit Class	ARFIMAfit-class coef,ARFIMAfit-method convergence,ARFIMAfit-method fitted,ARFIMAfit-method getspec,ARFIMAfit-method infocriteria,ARFIMAfit-method likelihood,ARFIMAfit-method reduce,ARFIMAfit-method residuals,ARFIMAfit-method show,ARFIMAfit-method uncmean,ARFIMAfit-method vcov,ARFIMAfit-method
function: ARFIMA Fit	arfimafit arfimafit,ANY-method arfimafit,ARFIMAspec-method arfimafit-methods
class: ARFIMA Forecast Class	ARFIMAforecast-class fitted,ARFIMAforecast-method fpm,ARFIMAforecast-method show,ARFIMAforecast-method
function: ARFIMA Forecasting	arfimaforecast arfimaforecast,ANY-method arfimaforecast,ARFIMAfit-method arfimaforecast,ARFIMAspec-method arfimaforecast-methods
class: ARFIMA Multiple Filter Class	ARFIMAmultifilter-class coef,ARFIMAmultifilter-method fitted,ARFIMAmultifilter-method likelihood,ARFIMAmultifilter-method residuals,ARFIMAmultifilter-method show,ARFIMAmultifilter-method
class: ARFIMA Multiple Fit Class	ARFIMAmultifit-class coef,ARFIMAmultifit-method fitted,ARFIMAmultifit-method likelihood,ARFIMAmultifit-method residuals,ARFIMAmultifit-method show,ARFIMAmultifit-method
class: ARFIMA Multiple Forecast Class	ARFIMAmultiforecast-class fitted,ARFIMAmultiforecast-method show,ARFIMAmultiforecast-method
class: ARFIMA Multiple Specification Class	ARFIMAmultispec-class show,ARFIMAmultispec-method
class: ARFIMA Path Simulation Class	ARFIMApath-class fitted,ARFIMApath-method show,ARFIMApath-method
function: ARFIMA Path Simulation	arfimapath arfimapath,ANY-method arfimapath,ARFIMAspec-method arfimapath-methods
class: ARFIMA Rolling Forecast Class	ARFIMAroll-class as.data.frame,ARFIMAroll-method coef,ARFIMAroll-method fpm,ARFIMAroll-method report,ARFIMAroll-method resume,ARFIMAroll-method show,ARFIMAroll-method
function: ARFIMA Rolling Density Forecast and Backtesting	arfimaroll arfimaroll,ANY-method arfimaroll,ARFIMAspec-method arfimaroll-methods
class: ARFIMA Simulation Class	ARFIMAsim-class fitted,ARFIMAsim-method show,ARFIMAsim-method
function: ARFIMA Simulation	arfimasim arfimasim,ANY-method arfimasim,ARFIMAfit-method arfimasim-methods
class: ARFIMA Specification Class	ARFIMAspec-class setbounds<-,ARFIMAspec,vector-method setfixed<-,ARFIMAspec,vector-method setstart<-,ARFIMAspec,vector-method show,ARFIMAspec-method uncmean,ARFIMAspec-method
function: ARFIMA Specification	arfimaspec arfimaspec,ANY-method arfimaspec-methods
Automatic Model Selection for ARFIMA models	autoarfima
Berkowitz Density Forecast Likelihood Ratio Test	BerkowitzTest
Directional Accuracy Test	DACTest
A small set of utilities to work with some time and date classes.	ftseq generatefwd move
data: Dow Jones 30 Constituents Closing Value Log Return	dji30ret
data: Deutschemark/British pound Exchange Rate	dmbp
Expected Shortfall Test.	ESTest
class: GARCH Bootstrap Class	GARCHboot-class
class: GARCH Parameter Distribution Class	GARCHdistribution-class
class: GARCH Filter Class	GARCHfilter-class
class: GARCH Fit Class	GARCHfit-class
class: GARCH Forecast Class	GARCHforecast-class
class: GARCH Path Simulation Class	GARCHpath-class
class: GARCH Roll Class	GARCHroll-class
class: GARCH Simulation Class	GARCHsim-class
class: GARCH Spec Class	GARCHspec-class
class: GARCH Tests Class	GARCHtests-class
Distribution: Generalized Hyperbolic Transformation and Scaling	ghyptransform
The GMM Orthogonality Test of Hansen	GMMTest
The Non-Parametric Density Test of Hong and Li	HLTest
Model Confidence Set Test	mcsTest
function: Univariate GARCH and ARFIMA Multiple Filtering	multifilter multifilter,ANY-method multifilter,ARFIMAmultifit-method multifilter,ARFIMAmultispec-method multifilter,uGARCHmultifit-method multifilter,uGARCHmultispec-method multifilter-methods
function: Univariate GARCH and ARFIMA Multiple Fitting	multifit multifit,ANY-method multifit,ARFIMAmultispec-method multifit,uGARCHmultispec-method multifit-methods
function: Univariate GARCH and ARFIMA Multiple Forecasting	multiforecast multiforecast,ANY-method multiforecast,ARFIMAmultifit-method multiforecast,ARFIMAmultispec-method multiforecast,uGARCHmultifit-method multiforecast,uGARCHmultispec-method multiforecast-methods
function: Univariate multiple GARCH Specification	multispec multispec,ANY-method multispec,vector-method multispec-methods
Functions exported for use in rmgarch	qgh qnig
class: rGARCH Class	rGARCH-class
Distribution: rugarch distribution functions	ddist distplot dkurtosis dskewness fitdist pdist qdist rdist rgarchdist skdomain
data: Standard and Poors 500 Closing Value Log Return	sp500ret
data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility	spyreal
Benchmark: The Benchmark Test Suite	ugarchbench
class: Univariate GARCH Bootstrap Class	as.data.frame,uGARCHboot-method plot,uGARCHboot,missing-method show,uGARCHboot-method uGARCHboot-class
function: Univariate GARCH Forecast via Bootstrap	ugarchboot ugarchboot,ANY-method ugarchboot,uGARCHfit-method ugarchboot,uGARCHspec-method ugarchboot-methods
class: Univariate GARCH Parameter Distribution Class	as.data.frame,uGARCHdistribution-method plot,uGARCHdistribution,missing-method show,uGARCHdistribution-method uGARCHdistribution-class
function: Univariate GARCH Parameter Distribution via Simulation	ugarchdistribution ugarchdistribution,ANY-method ugarchdistribution,uGARCHfit-method ugarchdistribution,uGARCHspec-method ugarchdistribution-methods
class: Univariate GARCH Filter Class	coef,uGARCHfilter-method fitted,uGARCHfilter-method gof,uGARCHfilter,numeric-method halflife,uGARCHfilter,missing,missing,missing,missing-method infocriteria,uGARCHfilter-method likelihood,uGARCHfilter-method newsimpact,uGARCHfilter-method persistence,uGARCHfilter,missing,missing,missing,missing-method pit,uGARCHfilter-method plot,uGARCHfilter,missing-method quantile,uGARCHfilter-method residuals,uGARCHfilter-method show,uGARCHfilter-method sigma,uGARCHfilter-method signbias,uGARCHfilter-method uGARCHfilter-class uncmean,uGARCHfilter-method uncvariance,uGARCHfilter,missing,missing,missing,missing,missing-method
function: Univariate GARCH Filtering	ugarchfilter ugarchfilter,ANY-method ugarchfilter,uGARCHspec-method ugarchfilter-methods
class: Univariate GARCH Fit Class	coef,uGARCHfit-method confint,uGARCHfit-method convergence convergence,ANY-method convergence,uGARCHfit-method fitted,uGARCHfit-method getspec getspec,ANY-method getspec,uGARCHfit-method gof gof,ANY,ANY-method gof,uGARCHfit,numeric-method halflife halflife,ANY,ANY,ANY,ANY,ANY-method halflife,missing,numeric,character,character,ANY-method halflife,uGARCHfit,missing,missing,missing,missing-method infocriteria infocriteria,ANY-method infocriteria,uGARCHfit-method likelihood likelihood,ANY-method likelihood,uGARCHfit-method newsimpact newsimpact,ANY-method newsimpact,uGARCHfit-method nyblom nyblom,ANY-method nyblom,uGARCHfit-method persistence persistence,ANY,ANY,ANY,ANY,ANY-method persistence,missing,numeric,character,character,ANY-method persistence,uGARCHfit,missing,missing,missing,missing-method pit pit,ANY-method pit,uGARCHfit-method plot,uGARCHfit,missing-method quantile,uGARCHfit-method reduce reduce,ANY-method reduce,uGARCHfit-method residuals,uGARCHfit-method show,uGARCHfit-method sigma sigma,ANY-method sigma,uGARCHfit-method signbias signbias,ANY-method signbias,uGARCHfit-method signbias-methods uGARCHfit-class uncmean uncmean,ANY-method uncmean,uGARCHfit-method uncvariance uncvariance,ANY,ANY,ANY,ANY,ANY,ANY-method uncvariance,missing,numeric,character,character,ANY,ANY-method uncvariance,uGARCHfit,missing,missing,missing,missing,missing-method vcov,uGARCHfit-method
function: Univariate GARCH Fitting	ugarchfit ugarchfit,ANY-method ugarchfit,uGARCHspec-method ugarchfit-methods
class: Univariate GARCH Forecast Class	fitted,uGARCHforecast-method fpm fpm,ANY-method fpm,uGARCHforecast-method plot,uGARCHforecast,missing-method quantile,uGARCHforecast-method show,uGARCHforecast-method sigma,uGARCHforecast-method uGARCHforecast-class
function: Univariate GARCH Forecasting	ugarchforecast ugarchforecast,ANY-method ugarchforecast,uGARCHfit-method ugarchforecast,uGARCHspec-method ugarchforecast-methods
class: Univariate GARCH Multiple Filter Class	coef,uGARCHmultifilter-method fitted,uGARCHmultifilter-method likelihood,uGARCHmultifilter-method residuals,uGARCHmultifilter-method show,uGARCHmultifilter-method sigma,uGARCHmultifilter-method uGARCHmultifilter-class
class: Univariate GARCH Multiple Fit Class	coef,uGARCHmultifit-method fitted,uGARCHmultifit-method likelihood,uGARCHmultifit-method residuals,uGARCHmultifit-method show,uGARCHmultifit-method sigma,uGARCHmultifit-method uGARCHmultifit-class
class: Univariate GARCH Multiple Forecast Class	fitted,uGARCHmultiforecast-method show,uGARCHmultiforecast-method sigma,uGARCHmultiforecast-method uGARCHmultiforecast-class
class: Univariate GARCH Multiple Specification Class	show,uGARCHmultispec-method uGARCHmultispec-class
class: Univariate GARCH Path Simulation Class	fitted,uGARCHpath-method plot,uGARCHpath,missing-method quantile,uGARCHpath-method show,uGARCHpath-method sigma,uGARCHpath-method uGARCHpath-class
function: Univariate GARCH Path Simulation	ugarchpath ugarchpath,ANY-method ugarchpath,uGARCHspec-method ugarchpath-methods
class: Univariate GARCH Rolling Forecast Class	as.data.frame,uGARCHroll-method coef,uGARCHroll-method convergence,uGARCHroll-method fpm,uGARCHroll-method pit,uGARCHroll-method plot,uGARCHroll,missing-method quantile,uGARCHroll-method report report,ANY-method report,uGARCHroll-method resume resume,ANY-method resume,uGARCHroll-method show,uGARCHroll-method uGARCHroll-class
function: Univariate GARCH Rolling Density Forecast and Backtesting	ugarchroll ugarchroll,ANY-method ugarchroll,uGARCHspec-method ugarchroll-methods
class: Univariate GARCH Simulation Class	fitted,uGARCHsim-method plot,uGARCHsim,missing-method quantile,uGARCHsim-method show,uGARCHsim-method sigma,uGARCHsim-method uGARCHsim-class
function: Univariate GARCH Simulation	ugarchsim ugarchsim,ANY-method ugarchsim,uGARCHfit-method ugarchsim-methods
class: Univariate GARCH Specification Class	halflife,uGARCHspec,missing,missing,missing,missing-method persistence,uGARCHspec,missing,missing,missing,missing-method setbounds<- setbounds<-,ANY,ANY-method setbounds<-,uGARCHspec,vector-method setfixed<- setfixed<-,ANY,ANY-method setfixed<-,uGARCHspec,vector-method setstart<- setstart<-,ANY,ANY-method setstart<-,uGARCHspec,vector-method show,uGARCHspec-method uGARCHspec-class uncmean,uGARCHspec-method uncvariance,uGARCHspec,missing,missing,missing,missing,missing-method
function: Univariate GARCH Specification	ugarchspec ugarchspec,ANY-method ugarchspec-methods
VaR Duration Test	VaRDurTest
Value at Risk loss function of Gonzalez-Rivera, Lee, and Mishra (2004)	VaRloss
Value at Risk Exceedances plot	VaRplot
Value at Risk Exceedances Test	VaRTest