Package: tsmarch 1.0.0

Alexios Galanos

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:Alexios Galanos [aut, cre, cph]

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'))

Peer review:

Bug tracker:https://github.com/tsmodels/tsmarch/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • dji30retw - Dow Jones 30 Constituents Closing Value log Weekly Return
  • globalindices - Global Financial Indices Closing Value log Weekly Return

openblascpp

2.30 score 2 scripts 132 downloads 13 exports 83 dependencies

Last updated 19 days agofrom:52a4ea0864. Checks:OK: 1 WARNING: 1. Indexed: no.

TargetResultDate
Doc / VignettesOKNov 25 2024
R-4.5-linux-x86_64WARNINGNov 25 2024

Exports:breadcgarch_modelspeccombn_fastdcc_modelspecdfftestfunexpected_shortfallgogarch_modelspecnewsimpactpfftqfftradicalvalue_at_risk

Dependencies:abindalabamaaskpassbase64encbslibcachemclicodetoolscpp11data.tabledigestDistributionUtilsevaluatefastmapflextablefontawesomefontBitstreamVerafontLiberationfontquiverfsfuturefuture.applygdtoolsGeneralizedHyperbolicgenericsglobalsgluehighrhtmltoolsjquerylibjsonliteKernSmoothknitrlatticelifecyclelistenvlubridateMASSMatrixmemoisemevmimenleqslvnloptrnumDerivofficeropensslparallellyprogressrR6raggrappdirsrbibutilsRcppRcppArmadilloRcppBesselRcppEigenRcppParallelRdpackrlangrmarkdownRsolnpsandwichsassshapeSkewHyperbolicsyssystemfontstextshapingtimechangetinytexTMBtruncnormtsdistributionstsgarchtsmethodsuuidxfunxml2xtsyamlzipzoo

Feasible Multivariate GARCH Models

Rendered fromfeasible_multivariate_garch.Rmdusingknitr::rmarkdownon Nov 25 2024.

Last update: 2024-11-18
Started: 2024-11-18

tsmarch demo

Rendered fromtsmarch_demo.Rmdusingknitr::rmarkdownon Nov 25 2024.

Last update: 2024-11-18
Started: 2024-11-18

Readme and manuals

Help Manual

Help pageTopics
Bread Methodbread.cgarch.estimate bread.dcc.estimate
Generic Methods for the Copula GARCH model specificationcgarch_modelspec
Copula GARCH model specificationcgarch_modelspec.tsgarch.multi_estimate
Extract Model Coefficientscoef coef.cgarch.estimate coef.dcc.estimate coef.gogarch.estimate
Fast combination of n elements, taken m at a timecombn_fast
Generic Methods for the DCC GARCH model specificationdcc_modelspec
DCC GARCH model specificationdcc_modelspec.tsgarch.multi_estimate
FFT density, distribution and quantile methoddfft 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 Returndji30retw
Score Methodestfun.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 objectsexpected_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 Valuesfitted 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 Returnglobalindices
GOGARCH Model specificationgogarch_modelspec
Extract Log-LikelihoodlogLik logLik.cgarch.estimate logLik.dcc.estimate logLik.gogarch.estimate
News Impact Surfacenewsimpact.cgarch.estimate newsimpact.dcc.estimate newsimpact.gogarch.estimate
Probability Integral Transform (PIT) for weighted FFT densitiespit.gogarch.fft
Dynamic Correlation Model Plotsplot.cgarch.estimate plot.dcc.estimate
News Impact Surface Plotplot.tsmarch.newsimpact
Model Predictionpredict predict.cgarch.estimate predict.dcc.estimate predict.gogarch.estimate
Model Estimation Summary Print methodprint.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 Residualsresiduals residuals.cgarch.estimate residuals.dcc.estimate residuals.gogarch.estimate
Model Simulationsimulate simulate.cgarch.estimate simulate.dcc.estimate simulate.gogarch.estimate
Model Estimation Summarysummary summary.cgarch.estimate summary.dcc.estimate summary.gogarch.estimate
Weighted Moments Aggregationtsaggregate 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 Extractortscokurt tscokurt.gogarch.estimate tscokurt.gogarch.predict tscokurt.gogarch.simulate
Convolutiontsconvolve tsconvolve.gogarch.estimate tsconvolve.gogarch.predict tsconvolve.gogarch.simulate
Correlation Extractortscor 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 Extractortscoskew tscoskew.gogarch.estimate tscoskew.gogarch.predict tscoskew.gogarch.simulate
Covariance Extractortscov 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 Filteringtsfilter tsfilter.cgarch.estimate tsfilter.dcc.estimate tsfilter.gogarch.estimate
Value at Risk (VaR) method for predicted and simulated objectsvalue_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 Parametersvcov vcov.cgarch.estimate vcov.dcc.estimate