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rugarch  

Univariate GARCH Models
View on CRAN: Click here


Download and install rugarch package within the R console
Install from CRAN:
install.packages("rugarch")

Install from Github:
library("remotes")
install_github("cran/rugarch")

Install by package version:
library("remotes")
install_version("rugarch", "1.5-3")



Attach the package and use:
library("rugarch")
Maintained by
Alexios Galanos
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2011-09-04
Latest Update: 2023-09-20
Description:
ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.
How to cite:
Alexios Galanos (2011). rugarch: Univariate GARCH Models. R package version 1.5-3, https://cran.r-project.org/web/packages/rugarch. Accessed 21 Nov. 2024.
Previous versions and publish date:
1.0-1 (2011-09-10 17:04), 1.0-2 (2011-09-22 07:33), 1.0-3 (2011-10-02 09:32), 1.0-4 (2011-10-14 17:29), 1.0-5 (2011-10-17 07:56), 1.0-7 (2011-12-24 13:10), 1.0-8 (2012-03-01 12:25), 1.0-9 (2012-05-26 11:49), 1.0-10 (2012-07-08 09:34), 1.0-11 (2012-08-23 08:26), 1.0-12 (2012-10-29 16:34), 1.0-14 (2012-12-19 07:48), 1.0-16 (2013-01-13 08:10), 1.0 (2011-09-04 19:10), 1.02 (2013-04-04 20:30), 1.2-2 (2013-04-07 18:35), 1.2-6 (2013-07-04 11:54), 1.2-7 (2013-07-08 07:29), 1.2-9 (2013-12-14 10:37), 1.3-1 (2014-01-24 18:46), 1.3-3 (2014-05-26 07:44), 1.3-4 (2014-11-09 00:31), 1.3-6 (2015-08-16 08:25), 1.3-8 (2017-10-09 00:32), 1.4-0 (2018-02-05 00:03), 1.4-1 (2019-01-16 07:20), 1.4-2 (2020-02-08 07:10), 1.4-4 (2020-07-16 06:50), 1.4-6 (2022-01-18 18:22), 1.4-7 (2022-02-02 12:30), 1.4-8 (2022-04-19 18:20), 1.4-9 (2022-10-27 00:32), 1.5-1 (2023-09-20 04:30), 1.5-2 (2024-08-19 19:00)
Other packages that cited rugarch R package
View rugarch citation profile
Other R packages that rugarch depends, imports, suggests or enhances
Complete documentation for rugarch
Functions, R codes and Examples using the rugarch R package
Some associated functions: ARFIMA-class . ARFIMAdistribution-class . ARFIMAfilter-class . ARFIMAfit-class . ARFIMAforecast-class . ARFIMAmultifilter-class . ARFIMAmultifit-class . ARFIMAmultiforecast-class . ARFIMAmultispec-class . ARFIMApath-class . ARFIMAroll-class . ARFIMAsim-class . ARFIMAspec-class . BerkowitzTest . DACTest . DateTimeUtilities . ESTest . GARCHboot-class . GARCHdistribution-class . GARCHfilter-class . GARCHfit-class . GARCHforecast-class . GARCHpath-class . GARCHroll-class . GARCHsim-class . GARCHspec-class . GARCHtests-class . GMMTest . HLTest . VaRDurTest . VaRTest . VaRloss . VaRplot . arfimacv . arfimadistribution-methods . arfimafilter-methods . arfimafit-methods . arfimaforecast-methods . arfimapath-methods . arfimaroll-methods . arfimasim-methods . arfimaspec-methods . autoarfima . dji30ret . dmbp . extradistfun . ghyptransform . mcs . multifilter-methods . multifit-methods . multiforecast-methods . multispec-methods . rGARCH-class . rugarch-package . sp500ret . spyreal . uGARCHboot-class . uGARCHdistribution-class . uGARCHfilter-class . uGARCHfit-class . uGARCHforecast-class . uGARCHmultifilter-class . uGARCHmultifit-class . uGARCHmultiforecast-class . uGARCHmultispec-class . uGARCHpath-class . uGARCHroll-class . uGARCHsim-class . uGARCHspec-class . ugarchbench . ugarchboot-methods . ugarchdist . ugarchdistribution-methods . ugarchfilter-methods . ugarchfit-methods . ugarchforecast-methods . ugarchpath-methods . ugarchroll-methods . ugarchsim-methods . ugarchspec-methods . 
Some associated R codes: arfima-classes.R . arfima-main.R . arfima-methods.R . arfima-multi.R . rugarch-aparch.R . rugarch-armafor.R . rugarch-benchmarks.R . rugarch-bootstrap.R . rugarch-classes.R . rugarch-csgarch.R . rugarch-cv.R . rugarch-cwrappers.R . rugarch-distributions.R . rugarch-egarch.R . rugarch-fgarch.R . rugarch-figarch.R . rugarch-gjrgarch.R . rugarch-graphs.R . rugarch-helperfn.R . rugarch-igarch.R . rugarch-imports.R . rugarch-kappa.R . rugarch-lossfn.R . rugarch-mcsgarch.R . rugarch-methods.R . rugarch-multi.R . rugarch-numderiv.R . rugarch-plots.R . rugarch-realgarch.R . rugarch-rolling.R . rugarch-series.R . rugarch-sgarch.R . rugarch-solvers.R . rugarch-startpars.R . rugarch-tests.R . rugarch-uncertainty.R . zzz.R .  Full rugarch package functions and examples
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