This package is considered a duplicate. The official version of this package is found at:https://alexiosg.r-universe.dev/rmgarch
Package: rmgarch 1.3-9
Alexios Galanos
rmgarch: Multivariate GARCH Models
Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.
Authors:
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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/alexiosg/rmgarch/issues
Uses libs:
Datasets:
- dji30retw - Data: Dow Jones 30 Constituents Closing Value log Weekly Return
Last updated 3 years agofrom:2699f032d3. Checks:OK: 1 NOTE: 1. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Dec 22 2024 |
| R-4.5-linux-x86_64 | NOTE | Dec 22 2024 |
Exports:as.matrixbetacokurtbetacoskewbetacovarcgarchfiltercgarchfitcgarchsimcgarchspecconvolutioncordistdccfilterdccfitdccforecastdccrolldccsimdccspecDCCtestdfftfasticafirstfmomentsfscenariogogarchfiltergogarchfitgogarchforecastgogarchrollgogarchsimgogarchspecgogetgoloadgportmomentslastnisurfacenportmomentspfftqfftradicalrcokurtrcorrcoskewrcovrshaperskewvarxfiltervarxfitvarxforecastvarxsimwmargin
Dependencies:BesselbitchroncorpcorDistributionUtilsffFNNfracdiffGeneralizedHyperbolicgmpkernlabKernSmoothkslatticeMASSMatrixmclustmgcvmulticoolmvtnormnlmenloptrnumDerivpcaPPpracmaRcppRcppArmadilloRmpfrRsolnprugarchshapeSkewHyperbolicspdtruncnormxtszoo
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 Forecast 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 Simultion 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 |
