rugarch: Univariate GARCH Models

Canonical link: https://rscholar.com/pkg/rugarch

Alexios Galanos • Tobias Kley • View description and downloads View dependencies GitHub project

2011 Published

1.5-3 Version

0 Citations

2 Authors

Referenced by ⇅	Year
AER: Applied Econometrics with R (Version 1.2-14)	2008
ARMALSTM: Fitting of Hybrid ARMA-LSTM Models (Version 0.1.0)	2024
ConnectednessApproach: Connectedness Approach (Version 1.0.3)	2022
PWEV: PSO Based Weighted Ensemble Algorithm for Volatility Modelling (Version 0.1.0)	2024
RMOPI: Risk Management and Optimization for Portfolio Investment (Version 1.1)	2022
RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities (Version 1.3.5)	2020
SBAGM: Search Best ARIMA, GARCH, and MS-GARCH Model (Version 0.1.0)	2020
WaveletGARCH: Fit the Wavelet-GARCH Model to Volatile Time Series Data (Version 0.1.1)	2019
copula: Multivariate Dependence with Copulas (Version 1.1-4)	2005
dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models (Version 0.1.2)	2021
facmodCS: Cross-Section Factor Models (Version 1.0)	2023
facmodTS: Time Series Factor Models for Asset Returns (Version 1.0)	2023
harbinger: A Unified Time Series Event Detection Framework (Version 1.0.787)	2023
highfrequency: Tools for Highfrequency Data Analysis (Version 1.0.1)	2012
iClick: A Button-Based GUI for Financial and Economic Data Analysis (Version 1.5)	2015
portvine: Vine Based (Un)Conditional Portfolio Risk Measure Estimation (Version 1.0.3)	2022
qrmtools: Tools for Quantitative Risk Management (Version 0.0-17)	2015
quarks: Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall (Version 1.1.4)	2021
rmgarch: Multivariate GARCH Models (Version 1.3-9)	2013
tsDyn: Nonlinear Time Series Models with Regime Switching (Version 11.0.4.1)	2006
tseriesTARMA: Analysis of Nonlinear Time Series Through Threshold Autoregressive Moving Average Models (TARMA) Models (Version 0.5-1)	2023
ufRisk: Risk Measure Calculation in Financial TS (Version 1.0.7)	2022
xdcclarge: Estimating a (c)DCC-GARCH Model in Large Dimensions (Version 0.1.0)	2018
zenplots: Zigzag Expanded Navigation Plots (Version 1.0.6)	2016

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