R: Multivariate ARCH Models

# Multivariate ARCH Models

## Documentation for package ‘tsmarch’ version 1.0.0

- DESCRIPTION file
- User guides, package vignettes and other documentation

## Help Pages

B C D E F G L N P Q R S T V

## -- B --

bread.cgarch.estimate | Bread Method
bread.dcc.estimate | Bread Method

## -- C --

cgarch_modelspec | Generic Methods for the Copula GARCH model specification
cgarch_modelspec.tsgarch.multi_estimate | Copula GARCH model specification
coef | Extract Model Coefficients
coef.cgarch.estimate | Extract Model Coefficients
coef.dcc.estimate | Extract Model Coefficients
coef.gogarch.estimate | Extract Model Coefficients
combn_fast | Fast combination of n elements, taken m at a time

## -- D --

dcc_modelspec | Generic Methods for the DCC GARCH model specification
dcc_modelspec.tsgarch.multi_estimate | DCC GARCH model specification
dfft | FFT density, distribution and quantile method
dfft.gogarch.fft | FFT density, distribution and quantile method
dfft.gogarch.fftsim | FFT density, distribution and quantile method
dji30retw | Dow Jones 30 Constituents Closing Value log Weekly Return

## -- E --

estfun.cgarch.estimate | Score Method
estfun.dcc.estimate | Score Method
estimate | Estimates a model given a specification.
estimate.cgarch.spec | Estimates a model given a specification.
estimate.dcc.spec | Estimates a model given a specification.
estimate.gogarch.spec | Estimates a model given a specification.
expected_shortfall | Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.cgarch.predict | Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.cgarch.simulate | Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.dcc.predict | Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.dcc.simulate | Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.gogarch.predict | Expected Shortfall (ES) method for predicted and simulated objects
expected_shortfall.gogarch.simulate | Expected Shortfall (ES) method for predicted and simulated objects

## -- F --

fitted | Extract Model Fitted Values
fitted.cgarch.estimate | Extract Model Fitted Values
fitted.cgarch.predict | Extract Model Fitted Values
fitted.cgarch.simulate | Extract Model Fitted Values
fitted.dcc.estimate | Extract Model Fitted Values
fitted.dcc.predict | Extract Model Fitted Values
fitted.dcc.simulate | Extract Model Fitted Values
fitted.gogarch.estimate | Extract Model Fitted Values
fitted.gogarch.predict | Extract Model Fitted Values
fitted.gogarch.simulate | Extract Model Fitted Values

## -- G --

globalindices | Global Financial Indices Closing Value log Weekly Return
gogarch_modelspec | GOGARCH Model specification

## -- L --

logLik | Extract Log-Likelihood
logLik.cgarch.estimate | Extract Log-Likelihood
logLik.dcc.estimate | Extract Log-Likelihood
logLik.gogarch.estimate | Extract Log-Likelihood

## -- N --

newsimpact.cgarch.estimate | News Impact Surface
newsimpact.dcc.estimate | News Impact Surface
newsimpact.gogarch.estimate | News Impact Surface

## -- P --

pfft | FFT density, distribution and quantile method
pfft.gogarch.fft | FFT density, distribution and quantile method
pfft.gogarch.fftsim | FFT density, distribution and quantile method
pit.gogarch.fft | Probability Integral Transform (PIT) for weighted FFT densities
plot.cgarch.estimate | Dynamic Correlation Model Plots
plot.dcc.estimate | Dynamic Correlation Model Plots
plot.tsmarch.newsimpact | News Impact Surface Plot
predict | Model Prediction
predict.cgarch.estimate | Model Prediction
predict.dcc.estimate | Model Prediction
predict.gogarch.estimate | Model Prediction
print.summary.cgarch.estimate | Model Estimation Summary Print method
print.summary.dcc.estimate | Model Estimation Summary Print method
print.summary.gogarch.estimate | Model Estimation Summary Print method
print.summary.tsmarch.estimate | Model Estimation Summary Print method

## -- Q --

qfft | FFT density, distribution and quantile method
qfft.gogarch.fft | FFT density, distribution and quantile method
qfft.gogarch.fftsim | FFT density, distribution and quantile method

## -- R --

radical | The Robust Accurate, Direct ICA ALgorithm (RADICAL)
residuals | Extract Model Residuals
residuals.cgarch.estimate | Extract Model Residuals
residuals.dcc.estimate | Extract Model Residuals
residuals.gogarch.estimate | Extract Model Residuals

## -- S --

simulate | Model Simulation
simulate.cgarch.estimate | Model Simulation
simulate.dcc.estimate | Model Simulation
simulate.gogarch.estimate | Model Simulation
summary | Model Estimation Summary
summary.cgarch.estimate | Model Estimation Summary
summary.dcc.estimate | Model Estimation Summary
summary.gogarch.estimate | Model Estimation Summary

## -- T --

tsaggregate | Weighted Moments Aggregation
tsaggregate.cgarch.estimate | Weighted Moments Aggregation
tsaggregate.cgarch.predict | Weighted Moments Aggregation
tsaggregate.cgarch.simulate | Weighted Moments Aggregation
tsaggregate.dcc.estimate | Weighted Moments Aggregation
tsaggregate.dcc.predict | Weighted Moments Aggregation
tsaggregate.dcc.simulate | Weighted Moments Aggregation
tsaggregate.gogarch.estimate | Weighted Moments Aggregation
tsaggregate.gogarch.predict | Weighted Moments Aggregation
tsaggregate.gogarch.simulate | Weighted Moments Aggregation
tscokurt | Cokurtosis Extractor
tscokurt.gogarch.estimate | Cokurtosis Extractor
tscokurt.gogarch.predict | Cokurtosis Extractor
tscokurt.gogarch.simulate | Cokurtosis Extractor
tsconvolve | Convolution
tsconvolve.gogarch.estimate | Convolution
tsconvolve.gogarch.predict | Convolution
tsconvolve.gogarch.simulate | Convolution
tscor | Correlation Extractor
tscor.cgarch.estimate | Correlation Extractor
tscor.cgarch.predict | Correlation Extractor
tscor.cgarch.simulate | Correlation Extractor
tscor.dcc.estimate | Correlation Extractor
tscor.dcc.predict | Correlation Extractor
tscor.dcc.simulate | Correlation Extractor
tscor.gogarch.estimate | Correlation Extractor
tscor.gogarch.predict | Correlation Extractor
tscor.gogarch.simulate | Correlation Extractor
tscoskew | Coskewness Extractor
tscoskew.gogarch.estimate | Coskewness Extractor
tscoskew.gogarch.predict | Coskewness Extractor
tscoskew.gogarch.simulate | Coskewness Extractor
tscov | Covariance Extractor
tscov.cgarch.estimate | Covariance Extractor
tscov.cgarch.predict | Covariance Extractor
tscov.cgarch.simulate | Covariance Extractor
tscov.dcc.estimate | Covariance Extractor
tscov.dcc.predict | Covariance Extractor
tscov.dcc.simulate | Covariance Extractor
tscov.gogarch.estimate | Covariance Extractor
tscov.gogarch.predict | Covariance Extractor
tscov.gogarch.simulate | Covariance Extractor
tsfilter | Model Filtering
tsfilter.cgarch.estimate | Model Filtering
tsfilter.dcc.estimate | Model Filtering
tsfilter.gogarch.estimate | Model Filtering

## -- V --

value_at_risk | Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.cgarch.predict | Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.cgarch.simulate | Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.dcc.predict | Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.dcc.simulate | Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.gogarch.predict | Value at Risk (VaR) method for predicted and simulated objects
value_at_risk.gogarch.simulate | Value at Risk (VaR) method for predicted and simulated objects
vcov | The Covariance Matrix of the Estimated Parameters
vcov.cgarch.estimate | The Covariance Matrix of the Estimated Parameters
vcov.dcc.estimate | The Covariance Matrix of the Estimated Parameters