R: Multivariate GARCH Models

# Multivariate GARCH Models

## Documentation for package ‘rmgarch’ version 1.4-2

- 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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 Simulation 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