Package: rmgarch 1.3-9

Alexios Galanos

rmgarch: Multivariate GARCH Models

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

Authors:Alexios Galanos <alexios@4dscape.com>

rmgarch_1.3-9.tar.gz
rmgarch_1.3-9.tar.gz(r-4.5-noble)rmgarch_1.3-9.tar.gz(r-4.4-noble)
rmgarch_1.3-9.tgz(r-4.4-emscripten)rmgarch_1.3-9.tgz(r-4.3-emscripten)
rmgarch.pdf |rmgarch.html✨
rmgarch/json (API)

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

Bug tracker:https://github.com/alexiosg/rmgarch/issues3 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:

Conda:

openblascppopenmp

6.02 score 15 stars 2 packages 7.8k downloads 3 mentions 48 exports 36 dependencies

Last updated 3 years agofrom:2699f032d3. Checks:1 OK, 2 NOTE. Indexed: no.

TargetResultLatest binary
Doc / VignettesOKMar 22 2025
R-4.5-linux-x86_64NOTEMar 22 2025
R-4.4-linux-x86_64NOTEMar 22 2025

Exports:as.matrixbetacokurtbetacoskewbetacovarcgarchfiltercgarchfitcgarchsimcgarchspecconvolutioncordistdccfilterdccfitdccforecastdccrolldccsimdccspecDCCtestdfftfasticafirstfmomentsfscenariogogarchfiltergogarchfitgogarchforecastgogarchrollgogarchsimgogarchspecgogetgoloadgportmomentslastnisurfacenportmomentspfftqfftradicalrcokurtrcorrcoskewrcovrshaperskewvarxfiltervarxfitvarxforecastvarxsimwmargin

Dependencies:BesselbitchroncorpcorDistributionUtilsffFNNfracdiffGeneralizedHyperbolicgmpkernlabKernSmoothkslatticeMASSMatrixmclustmgcvmulticoolmvtnormnlmenloptrnumDerivpcaPPpracmaRcppRcppArmadilloRmpfrRsolnprugarchshapeSkewHyperbolicspdtruncnormxtszoo

The rmgarch models: Background and properties

Rendered fromThe_rmgarch_models.Rnwusingutils::Sweaveon Mar 22 2025.

Last update: 2022-02-04
Started: 2013-04-10

Citation

When using rmgarch in publications, please cite:

To cite the rmgarch package, please use:

Alexios Galanos (2022). rmgarch: Multivariate GARCH models. R package version 1.3-9.

Corresponding BibTeX entry: 

  @Manual{,
    title = {rmgarch: Multivariate GARCH models.},
    author = {Alexios Galanos},
    year = {2022},
    note = {R package version 1.3-9.},
  }

Readme and manuals

rmgarch

The rmgarch package provides a selection of feasible multivariate GARCH models with methods for fitting, filtering, forecasting and simulation with additional support functions for working with the returned objects. At present, the Generalized Orthogonal GARCH using Independent Components Analysis (ICA) (with multivariate Normal, affine NIG and affine GH distributions) and Dynamic Conditional Correlation (with multivariate Normal, Laplace and Student distributions) models are fully implemented, with methods for spec, fit, filter, forecast, simulation, and rolling estimation and forecasting, as well as specialized functions to calculate and work with the weighted portfolio conditional density. The DCC model currently includes the asymmetric DCC (aDCC) and Flexible DCC which allows for separate groupwise dynamics for the correlation. The GARCH-Copula model is also implemented with the multivariate Normal and Student distributions, with dynamic (aDCC) and static estimation of the correlation. The conditional mean can be either univariate ARMA (AR for GO-GARCH), or a VAR model for which a robust alternative is also available. Parallel functionality is implemented almost everywhere since the models benefit from separability in the dynamics.

The stable version is on CRAN.

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