Package: tsmarch 1.0.0
tsmarch: Multivariate ARCH Models
Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.
Authors:
tsmarch_1.0.0.tar.gz
tsmarch_1.0.0.tar.gz(r-4.5-noble)tsmarch_1.0.0.tar.gz(r-4.4-noble)
tsmarch_1.0.0.tgz(r-4.4-emscripten)tsmarch_1.0.0.tgz(r-4.3-emscripten)
tsmarch.pdf |tsmarch.html✨
tsmarch/json (API)
# Install 'tsmarch' in R: |
install.packages('tsmarch', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/tsmodels/tsmarch/issues
- dji30retw - Dow Jones 30 Constituents Closing Value log Weekly Return
- globalindices - Global Financial Indices Closing Value log Weekly Return
Last updated 19 days agofrom:52a4ea0864. Checks:OK: 1 WARNING: 1. Indexed: no.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 25 2024 |
R-4.5-linux-x86_64 | WARNING | Nov 25 2024 |
Exports:breadcgarch_modelspeccombn_fastdcc_modelspecdfftestfunexpected_shortfallgogarch_modelspecnewsimpactpfftqfftradicalvalue_at_risk
Dependencies:abindalabamaaskpassbase64encbslibcachemclicodetoolscpp11data.tabledigestDistributionUtilsevaluatefastmapflextablefontawesomefontBitstreamVerafontLiberationfontquiverfsfuturefuture.applygdtoolsGeneralizedHyperbolicgenericsglobalsgluehighrhtmltoolsjquerylibjsonliteKernSmoothknitrlatticelifecyclelistenvlubridateMASSMatrixmemoisemevmimenleqslvnloptrnumDerivofficeropensslparallellyprogressrR6raggrappdirsrbibutilsRcppRcppArmadilloRcppBesselRcppEigenRcppParallelRdpackrlangrmarkdownRsolnpsandwichsassshapeSkewHyperbolicsyssystemfontstextshapingtimechangetinytexTMBtruncnormtsdistributionstsgarchtsmethodsuuidxfunxml2xtsyamlzipzoo
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Bread Method | bread.cgarch.estimate bread.dcc.estimate |
Generic Methods for the Copula GARCH model specification | cgarch_modelspec |
Copula GARCH model specification | cgarch_modelspec.tsgarch.multi_estimate |
Extract Model Coefficients | coef coef.cgarch.estimate coef.dcc.estimate coef.gogarch.estimate |
Fast combination of n elements, taken m at a time | combn_fast |
Generic Methods for the DCC GARCH model specification | dcc_modelspec |
DCC GARCH model specification | dcc_modelspec.tsgarch.multi_estimate |
FFT density, distribution and quantile method | dfft dfft.gogarch.fft dfft.gogarch.fftsim pfft pfft.gogarch.fft pfft.gogarch.fftsim qfft qfft.gogarch.fft qfft.gogarch.fftsim |
Dow Jones 30 Constituents Closing Value log Weekly Return | dji30retw |
Score Method | estfun.cgarch.estimate estfun.dcc.estimate |
Estimates a model given a specification. | estimate estimate.cgarch.spec estimate.dcc.spec estimate.gogarch.spec |
Expected Shortfall (ES) method for predicted and simulated objects | expected_shortfall expected_shortfall.cgarch.predict expected_shortfall.cgarch.simulate expected_shortfall.dcc.predict expected_shortfall.dcc.simulate expected_shortfall.gogarch.predict expected_shortfall.gogarch.simulate |
Extract Model Fitted Values | fitted fitted.cgarch.estimate fitted.cgarch.predict fitted.cgarch.simulate fitted.dcc.estimate fitted.dcc.predict fitted.dcc.simulate fitted.gogarch.estimate fitted.gogarch.predict fitted.gogarch.simulate |
Global Financial Indices Closing Value log Weekly Return | globalindices |
GOGARCH Model specification | gogarch_modelspec |
Extract Log-Likelihood | logLik logLik.cgarch.estimate logLik.dcc.estimate logLik.gogarch.estimate |
News Impact Surface | newsimpact.cgarch.estimate newsimpact.dcc.estimate newsimpact.gogarch.estimate |
Probability Integral Transform (PIT) for weighted FFT densities | pit.gogarch.fft |
Dynamic Correlation Model Plots | plot.cgarch.estimate plot.dcc.estimate |
News Impact Surface Plot | plot.tsmarch.newsimpact |
Model Prediction | predict predict.cgarch.estimate predict.dcc.estimate predict.gogarch.estimate |
Model Estimation Summary Print method | print.summary.cgarch.estimate print.summary.dcc.estimate print.summary.gogarch.estimate print.summary.tsmarch.estimate |
The Robust Accurate, Direct ICA ALgorithm (RADICAL) | radical |
Extract Model Residuals | residuals residuals.cgarch.estimate residuals.dcc.estimate residuals.gogarch.estimate |
Model Simulation | simulate simulate.cgarch.estimate simulate.dcc.estimate simulate.gogarch.estimate |
Model Estimation Summary | summary summary.cgarch.estimate summary.dcc.estimate summary.gogarch.estimate |
Weighted Moments Aggregation | tsaggregate tsaggregate.cgarch.estimate tsaggregate.cgarch.predict tsaggregate.cgarch.simulate tsaggregate.dcc.estimate tsaggregate.dcc.predict tsaggregate.dcc.simulate tsaggregate.gogarch.estimate tsaggregate.gogarch.predict tsaggregate.gogarch.simulate |
Cokurtosis Extractor | tscokurt tscokurt.gogarch.estimate tscokurt.gogarch.predict tscokurt.gogarch.simulate |
Convolution | tsconvolve tsconvolve.gogarch.estimate tsconvolve.gogarch.predict tsconvolve.gogarch.simulate |
Correlation Extractor | tscor tscor.cgarch.estimate tscor.cgarch.predict tscor.cgarch.simulate tscor.dcc.estimate tscor.dcc.predict tscor.dcc.simulate tscor.gogarch.estimate tscor.gogarch.predict tscor.gogarch.simulate |
Coskewness Extractor | tscoskew tscoskew.gogarch.estimate tscoskew.gogarch.predict tscoskew.gogarch.simulate |
Covariance Extractor | tscov tscov.cgarch.estimate tscov.cgarch.predict tscov.cgarch.simulate tscov.dcc.estimate tscov.dcc.predict tscov.dcc.simulate tscov.gogarch.estimate tscov.gogarch.predict tscov.gogarch.simulate |
Model Filtering | tsfilter tsfilter.cgarch.estimate tsfilter.dcc.estimate tsfilter.gogarch.estimate |
Value at Risk (VaR) method for predicted and simulated objects | value_at_risk value_at_risk.cgarch.predict value_at_risk.cgarch.simulate value_at_risk.dcc.predict value_at_risk.dcc.simulate value_at_risk.gogarch.predict value_at_risk.gogarch.simulate |
The Covariance Matrix of the Estimated Parameters | vcov vcov.cgarch.estimate vcov.dcc.estimate |