rugarch

class: High Level ARFIMA class

class: ARFIMA Parameter Distribution Class

class: ARFIMA Filter Class

class: ARFIMA Fit Class

class: ARFIMA Forecast Class

class: ARFIMA Multiple Filter Class

class: ARFIMA Multiple Fit Class

class: ARFIMA Multiple Forecast Class

class: ARFIMA Multiple Specification Class

class: ARFIMA Path Simulation Class

class: ARFIMA Rolling Forecast Class

class: ARFIMA Simulation Class

class: ARFIMA Specification Class

Berkowitz Density Forecast Likelihood Ratio Test

Directional Accuracy Test

A small set of utilities to work with some time and date classes.

Expected Shortfall Test.

class: GARCH Bootstrap Class

class: GARCH Parameter Distribution Class

class: GARCH Filter Class

class: GARCH Fit Class

class: GARCH Forecast Class

class: GARCH Path Simulation Class

class: GARCH Roll Class

class: GARCH Simulation Class

class: GARCH Spec Class

class: GARCH Tests Class

The GMM Orthogonality Test of Hansen

The Non-Parametric Density Test of Hong and Li

VaR Duration Test

Value at Risk Exceedances Test

Value at Risk loss function of Gonzalez-Rivera, Lee, and Mishra (2004)

Value at Risk Exceedances plot

ARFIMAX time series cross validation

function: ARFIMA Parameter Distribution via Simulation

function: ARFIMA Filtering

function: ARFIMA Fit

function: ARFIMA Forecasting

function: ARFIMA Path Simulation

function: ARFIMA Rolling Density Forecast and Backtesting

function: ARFIMA Simulation

function: ARFIMA Specification

Automatic Model Selection for ARFIMA models

data: Dow Jones 30 Constituents Closing Value Log Return

data: Deutschemark/British pound Exchange Rate

Distribution: Generalized Hyperbolic Transformation and Scaling

Model Confidence Set Test

function: Univariate GARCH and ARFIMA Multiple Filtering

function: Univariate GARCH and ARFIMA Multiple Fitting

function: Univariate GARCH and ARFIMA Multiple Forecasting

function: Univariate multiple GARCH Specification

class: rGARCH Class

The rugarch package

data: Standard and Poors 500 Closing Value Log Return

data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility

class: Univariate GARCH Bootstrap Class

class: Univariate GARCH Parameter Distribution Class

class: Univariate GARCH Filter Class

class: Univariate GARCH Fit Class

class: Univariate GARCH Forecast Class

class: Univariate GARCH Multiple Filter Class

class: Univariate GARCH Multiple Fit Class

class: Univariate GARCH Multiple Forecast Class

class: Univariate GARCH Multiple Specification Class

class: Univariate GARCH Path Simulation Class

class: Univariate GARCH Rolling Forecast Class

class: Univariate GARCH Simulation Class

class: Univariate GARCH Specification Class

Benchmark: The Benchmark Test Suite

function: Univariate GARCH Forecast via Bootstrap

Distribution: rugarch distribution functions

function: Univariate GARCH Parameter Distribution via Simulation

function: Univariate GARCH Filtering

function: Univariate GARCH Fitting

function: Univariate GARCH Forecasting

function: Univariate GARCH Path Simulation

function: Univariate GARCH Rolling Density Forecast and Backtesting

function: Univariate GARCH Simulation

function: Univariate GARCH Specification