Multivariate GARCH Models

---

Documentation for package ‘rmgarch’ version 1.3-9

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

A B C D F G I L M N P Q R S V W

rmgarch-package

The rmgarch package

-- A --

as.matrix-method	class: GO-GARCH Filter Class
as.matrix-method	class: GO-GARCH Fit Class
as.matrix-method	class: GO-GARCH Forecast Class
as.matrix-method	class: GO-GARCH Simultion Class

-- B --

betacokurt	class: GO-GARCH Fit Class
betacokurt-method	class: GO-GARCH Filter Class
betacokurt-method	class: GO-GARCH Fit Class
betacokurt-method	class: GO-GARCH Forecast Class
betacoskew	class: GO-GARCH Fit Class
betacoskew-method	class: GO-GARCH Filter Class
betacoskew-method	class: GO-GARCH Fit Class
betacoskew-method	class: GO-GARCH Forecast Class
betacovar	class: GO-GARCH Fit Class
betacovar-method	class: GO-GARCH Filter Class
betacovar-method	class: GO-GARCH Fit Class
betacovar-method	class: GO-GARCH Forecast Class

-- C --

cgarchfilter	function: Copula-GARCH Filter
cGARCHfilter-class	class: Copula Filter Class
cgarchfilter-method	function: Copula-GARCH Filter
cgarchfit	function: Copula-GARCH Fit
cGARCHfit-class	class: Copula Fit Class
cgarchfit-method	function: Copula-GARCH Fit
cgarchsim	function: Copula-GARCH Simulation
cGARCHsim-class	class: Copula Simulation Class
cgarchsim-method	function: Copula-GARCH Simulation
cgarchspec	function: Copula-GARCH Specification
cGARCHspec-class	class: Copula Specification Class
cgarchspec-method	function: Copula-GARCH Specification
coef-method	class: DCC Filter Class
coef-method	class: DCC Fit Class
coef-method	class: DCC Roll Class
coef-method	class: Copula Filter Class
coef-method	class: Copula Fit Class
coef-method	class: GO-GARCH Filter Class
coef-method	class: GO-GARCH Fit Class
coef-method	class: GO-GARCH Forecast Class
coef-method	class: GO-GARCH Roll Class
convolution	class: GO-GARCH Fit Class
convolution-method	class: GO-GARCH Filter Class
convolution-method	class: GO-GARCH Fit Class
convolution-method	class: GO-GARCH Forecast Class
convolution-method	class: GO-GARCH Roll Class
convolution-method	class: GO-GARCH Simultion Class
cordist	A Correlation Distance Measure

-- D --

dccfilter	function: DCC-GARCH Filter
DCCfilter-class	class: DCC Filter Class
dccfilter-method	function: DCC-GARCH Filter
dccfit	function: DCC-GARCH Fit
DCCfit-class	class: DCC Fit Class
dccfit-method	function: DCC-GARCH Fit
dccforecast	function: DCC-GARCH Forecast
DCCforecast-class	class: DCC Forecast Class
dccforecast-method	function: DCC-GARCH Forecast
dccroll	function: DCC-GARCH Rolling Forecast
DCCroll-class	class: DCC Roll Class
dccroll-method	function: DCC-GARCH Rolling Forecast
dccsim	function: DCC-GARCH Simulation
DCCsim-class	class: DCC Forecast Class
dccsim-method	function: DCC-GARCH Simulation
dccspec	function: DCC-GARCH Specification
DCCspec-class	class: DCC Specification Class
dccspec-method	function: DCC-GARCH Specification
DCCtest	Engle and Sheppard Test of Dynamic Correlation
dfft	Class: GO-GARCH portfolio density
dfft-method	Class: GO-GARCH portfolio density
dji30retw	data: Dow Jones 30 Constituents Closing Value log Weekly Return

-- F --

fastica	Fast Fixed Point ICA
first	First and Last methods for accessing objects
first-method	First and Last methods for accessing objects
first-methods	First and Last methods for accessing objects
fitted-method	class: DCC Filter Class
fitted-method	class: DCC Fit Class
fitted-method	class: DCC Forecast Class
fitted-method	class: DCC Roll Class
fitted-method	class: DCC Forecast Class
fitted-method	class: Copula Filter Class
fitted-method	class: Copula Fit Class
fitted-method	class: Copula Simulation Class
fitted-method	Class '"fMoments"'
fitted-method	Class '"fScenario"'
fitted-method	class: GO-GARCH Filter Class
fitted-method	class: GO-GARCH Fit Class
fitted-method	class: GO-GARCH Forecast Class
fitted-method	class: GO-GARCH Roll Class
fmoments	Moment Based Forecast Generation
fMoments-class	Class '"fMoments"'
fmoments-method	Moment Based Forecast Generation
fmoments-methods	Moment Based Forecast Generation
fscenario	Scenario Generation
fScenario-class	Class '"fScenario"'
fscenario-method	Scenario Generation
fscenario-methods	Scenario Generation

-- G --

goGARCHfft-class	Class: GO-GARCH portfolio density
gogarchfilter	function: GO-GARCH Filter
goGARCHfilter-class	class: GO-GARCH Filter Class
gogarchfilter-method	function: GO-GARCH Filter
gogarchfit	function: GO-GARCH Filter
goGARCHfit-class	class: GO-GARCH Fit Class
gogarchfit-method	function: GO-GARCH Filter
gogarchforecast	function: GO-GARCH Forecast
goGARCHforecast-class	class: GO-GARCH Forecast Class
gogarchforecast-method	function: GO-GARCH Forecast
gogarchforecast-methods	function: GO-GARCH Forecast
gogarchroll	function: GO-GARCH Rolling Estimation
goGARCHroll-class	class: GO-GARCH Roll Class
gogarchroll-method	function: GO-GARCH Rolling Estimation
gogarchsim	function: GO-GARCH Simulation
goGARCHsim-class	class: GO-GARCH Simultion Class
gogarchsim-method	function: GO-GARCH Simulation
gogarchspec	function: GO-GARCH Specification
goGARCHspec-class	class: GO-GARCH Specification Class
gogarchspec-method	function: GO-GARCH Specification
gogarchspec-methods	function: GO-GARCH Specification
goget	Class '"fScenario"'
goget-method	Class '"fScenario"'
goload	Load Scenario from File
goload-method	Load Scenario from File
goload-methods	Load Scenario from File
gportmoments	class: GO-GARCH Fit Class
gportmoments-method	class: GO-GARCH Filter Class
gportmoments-method	class: GO-GARCH Fit Class
gportmoments-method	class: GO-GARCH Forecast Class
gportmoments-method	class: GO-GARCH Roll Class
gportmoments-method	class: GO-GARCH Simultion Class

-- I --

infocriteria-method

class: DCC Fit Class

-- L --

last	First and Last methods for accessing objects
last-method	First and Last methods for accessing objects
last-methods	First and Last methods for accessing objects
likelihood-method	class: DCC Filter Class
likelihood-method	class: DCC Fit Class
likelihood-method	class: DCC Roll Class
likelihood-method	class: Copula Filter Class
likelihood-method	class: Copula Fit Class
likelihood-method	class: GO-GARCH Filter Class
likelihood-method	class: GO-GARCH Fit Class

-- M --

mGARCHfilter-class	Class: Multivariate GARCH Filter Class
mGARCHfit-class	Class: Multivariate GARCH Fit Class
mGARCHforecast-class	Class: Multivariate GARCH Forecast Class
mGARCHroll-class	Class: Multivariate GARCH Roll Class
mGARCHsim-class	Class: Multivariate GARCH Simulation Class
mGARCHspec-class	Class: Multivariate GARCH Specification

-- N --

nisurface	class: GO-GARCH Fit Class
nisurface-method	class: DCC Filter Class
nisurface-method	class: DCC Fit Class
nisurface-method	class: GO-GARCH Filter Class
nisurface-method	class: GO-GARCH Fit Class
nportmoments	Class: GO-GARCH portfolio density
nportmoments-method	Class: GO-GARCH portfolio density

-- P --

pfft	Class: GO-GARCH portfolio density
pfft-method	Class: GO-GARCH portfolio density
plot-method	class: DCC Filter Class
plot-method	class: DCC Fit Class
plot-method	class: DCC Forecast Class
plot-method	class: DCC Roll Class

-- Q --

qfft	Class: GO-GARCH portfolio density
qfft-method	Class: GO-GARCH portfolio density

-- R --

radical	The Robust Accurate, Direct ICA aLgorithm (RADICAL).
rcokurt	class: GO-GARCH Fit Class
rcokurt-method	Class '"fMoments"'
rcokurt-method	class: GO-GARCH Filter Class
rcokurt-method	class: GO-GARCH Fit Class
rcokurt-method	class: GO-GARCH Forecast Class
rcokurt-method	class: GO-GARCH Roll Class
rcokurt-method	class: GO-GARCH Simultion Class
rcor	class: GO-GARCH Fit Class
rcor-method	class: DCC Filter Class
rcor-method	class: DCC Fit Class
rcor-method	class: DCC Forecast Class
rcor-method	class: DCC Roll Class
rcor-method	class: DCC Forecast Class
rcor-method	class: Copula Filter Class
rcor-method	class: Copula Fit Class
rcor-method	class: Copula Simulation Class
rcor-method	class: GO-GARCH Filter Class
rcor-method	class: GO-GARCH Fit Class
rcor-method	class: GO-GARCH Forecast Class
rcor-method	class: GO-GARCH Roll Class
rcor-method	class: GO-GARCH Simultion Class
rcoskew	class: GO-GARCH Fit Class
rcoskew-method	Class '"fMoments"'
rcoskew-method	class: GO-GARCH Filter Class
rcoskew-method	class: GO-GARCH Fit Class
rcoskew-method	class: GO-GARCH Forecast Class
rcoskew-method	class: GO-GARCH Roll Class
rcoskew-method	class: GO-GARCH Simultion Class
rcov	class: GO-GARCH Fit Class
rcov-method	class: DCC Filter Class
rcov-method	class: DCC Fit Class
rcov-method	class: DCC Forecast Class
rcov-method	class: DCC Roll Class
rcov-method	class: DCC Forecast Class
rcov-method	class: Copula Filter Class
rcov-method	class: Copula Fit Class
rcov-method	class: Copula Simulation Class
rcov-method	Class '"fMoments"'
rcov-method	class: GO-GARCH Filter Class
rcov-method	class: GO-GARCH Fit Class
rcov-method	class: GO-GARCH Forecast Class
rcov-method	class: GO-GARCH Roll Class
rcov-method	class: GO-GARCH Simultion Class
residuals-method	class: DCC Filter Class
residuals-method	class: DCC Fit Class
residuals-method	class: Copula Filter Class
residuals-method	class: Copula Fit Class
residuals-method	class: GO-GARCH Filter Class
residuals-method	class: GO-GARCH Fit Class
rmgarch	The rmgarch package
rshape	class: DCC Fit Class
rshape-method	class: DCC Filter Class
rshape-method	class: DCC Fit Class
rshape-method	class: DCC Forecast Class
rshape-method	class: DCC Roll Class
rshape-method	class: Copula Filter Class
rshape-method	class: Copula Fit Class
rskew	class: DCC Fit Class
rskew-method	class: DCC Filter Class
rskew-method	class: DCC Fit Class
rskew-method	class: DCC Forecast Class
rskew-method	class: DCC Roll Class
rskew-method	class: Copula Filter Class
rskew-method	class: Copula Fit Class

-- S --

setfixed<--method	class: DCC Specification Class
setfixed<--method	class: Copula Specification Class
setstart<--method	class: DCC Specification Class
setstart<--method	class: Copula Specification Class
show-method	class: DCC Filter Class
show-method	class: DCC Fit Class
show-method	class: DCC Forecast Class
show-method	class: DCC Roll Class
show-method	class: DCC Forecast Class
show-method	class: DCC Specification Class
show-method	class: Copula Filter Class
show-method	class: Copula Fit Class
show-method	class: Copula Simulation Class
show-method	class: Copula Specification Class
show-method	Class '"fMoments"'
show-method	Class '"fScenario"'
show-method	class: GO-GARCH Filter Class
show-method	class: GO-GARCH Fit Class
show-method	class: GO-GARCH Forecast Class
show-method	class: GO-GARCH Specification Class
sigma-method	class: DCC Filter Class
sigma-method	class: DCC Fit Class
sigma-method	class: DCC Forecast Class
sigma-method	class: DCC Roll Class
sigma-method	class: DCC Forecast Class
sigma-method	class: Copula Filter Class
sigma-method	class: Copula Fit Class
sigma-method	class: Copula Simulation Class
sigma-method	class: GO-GARCH Forecast Class
sigma-method	class: GO-GARCH Roll Class

-- V --

varxfilter	VARX Fit/Filter/Forecast/Simulation Functions
varxfit	VARX Fit/Filter/Forecast/Simulation Functions
varxforecast	VARX Fit/Filter/Forecast/Simulation Functions
varxsim	VARX Fit/Filter/Forecast/Simulation Functions

-- W --

wmargin

Weighted Distribution Margin