# Univariate GARCH Models

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

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

## Help Pages

A B C D E F G H I L M N P Q R S U V

rugarch-package | The rugarch package

## -- A --

ARFIMA-class | class: High Level ARFIMA class
arfimacv | ARFIMAX time series cross validation
arfimadistribution | function: ARFIMA Parameter Distribution via Simulation
ARFIMAdistribution-class | class: ARFIMA Parameter Distribution Class
arfimadistribution-method | function: ARFIMA Parameter Distribution via Simulation
arfimadistribution-methods | function: ARFIMA Parameter Distribution via Simulation
arfimafilter | function: ARFIMA Filtering
ARFIMAfilter-class | class: ARFIMA Filter Class
arfimafilter-method | function: ARFIMA Filtering
arfimafilter-methods | function: ARFIMA Filtering
arfimafit | function: ARFIMA Fit
ARFIMAfit-class | class: ARFIMA Fit Class
arfimafit-method | function: ARFIMA Fit
arfimafit-methods | function: ARFIMA Fit
arfimaforecast | function: ARFIMA Forecasting
ARFIMAforecast-class | class: ARFIMA Forecast Class
arfimaforecast-method | function: ARFIMA Forecasting
arfimaforecast-methods | function: ARFIMA Forecasting
ARFIMAmultifilter-class | class: ARFIMA Multiple Filter Class
ARFIMAmultifit-class | class: ARFIMA Multiple Fit Class
ARFIMAmultiforecast-class | class: ARFIMA Multiple Forecast Class
ARFIMAmultispec-class | class: ARFIMA Multiple Specification Class
arfimapath | function: ARFIMA Path Simulation
ARFIMApath-class | class: ARFIMA Path Simulation Class
arfimapath-method | function: ARFIMA Path Simulation
arfimapath-methods | function: ARFIMA Path Simulation
arfimaroll | function: ARFIMA Rolling Density Forecast and Backtesting
ARFIMAroll-class | class: ARFIMA Rolling Forecast Class
arfimaroll-method | function: ARFIMA Rolling Density Forecast and Backtesting
arfimaroll-methods | function: ARFIMA Rolling Density Forecast and Backtesting
arfimasim | function: ARFIMA Simulation
ARFIMAsim-class | class: ARFIMA Simulation Class
arfimasim-method | function: ARFIMA Simulation
arfimasim-methods | function: ARFIMA Simulation
arfimaspec | function: ARFIMA Specification
ARFIMAspec-class | class: ARFIMA Specification Class
arfimaspec-method | function: ARFIMA Specification
arfimaspec-methods | function: ARFIMA Specification
as.data.frame-method | class: ARFIMA Parameter Distribution Class
as.data.frame-method | class: ARFIMA Rolling Forecast Class
as.data.frame-method | class: Univariate GARCH Bootstrap Class
as.data.frame-method | class: Univariate GARCH Parameter Distribution Class
as.data.frame-method | class: Univariate GARCH Rolling Forecast Class
autoarfima | Automatic Model Selection for ARFIMA models

## -- B --

BerkowitzTest | Berkowitz Density Forecast Likelihood Ratio Test

## -- C --

coef-method | class: ARFIMA Filter Class
coef-method | class: ARFIMA Fit Class
coef-method | class: ARFIMA Multiple Filter Class
coef-method | class: ARFIMA Multiple Fit Class
coef-method | class: ARFIMA Rolling Forecast Class
coef-method | class: Univariate GARCH Filter Class
coef-method | class: Univariate GARCH Fit Class
coef-method | class: Univariate GARCH Multiple Filter Class
coef-method | class: Univariate GARCH Multiple Fit Class
coef-method | class: Univariate GARCH Rolling Forecast Class
confint-method | class: Univariate GARCH Fit Class
convergence | class: Univariate GARCH Fit Class
convergence-method | class: ARFIMA Fit Class
convergence-method | class: Univariate GARCH Fit Class
convergence-method | class: Univariate GARCH Rolling Forecast Class

## -- D --

DACTest | Directional Accuracy Test
ddist | Distribution: rugarch distribution functions
distplot | Distribution: rugarch distribution functions
dji30ret | data: Dow Jones 30 Constituents Closing Value Log Return
dkurtosis | Distribution: rugarch distribution functions
dmbp | data: Deutschemark/British pound Exchange Rate
dskewness | Distribution: rugarch distribution functions

## -- E --

ESTest | Expected Shortfall Test.

## -- F --

fitdist | Distribution: rugarch distribution functions
fitted-method | class: ARFIMA Filter Class
fitted-method | class: ARFIMA Fit Class
fitted-method | class: ARFIMA Forecast Class
fitted-method | class: ARFIMA Multiple Filter Class
fitted-method | class: ARFIMA Multiple Fit Class
fitted-method | class: ARFIMA Multiple Forecast Class
fitted-method | class: ARFIMA Path Simulation Class
fitted-method | class: ARFIMA Simulation Class
fitted-method | class: Univariate GARCH Filter Class
fitted-method | class: Univariate GARCH Fit Class
fitted-method | class: Univariate GARCH Forecast Class
fitted-method | class: Univariate GARCH Multiple Filter Class
fitted-method | class: Univariate GARCH Multiple Fit Class
fitted-method | class: Univariate GARCH Multiple Forecast Class
fitted-method | class: Univariate GARCH Path Simulation Class
fitted-method | class: Univariate GARCH Simulation Class
fpm | class: Univariate GARCH Forecast Class
fpm-method | class: ARFIMA Forecast Class
fpm-method | class: ARFIMA Rolling Forecast Class
fpm-method | class: Univariate GARCH Forecast Class
fpm-method | class: Univariate GARCH Rolling Forecast Class
ftseq | A small set of utilities to work with some time and date classes.

## -- G --

GARCHboot-class | class: GARCH Bootstrap Class
GARCHdistribution-class | class: GARCH Parameter Distribution Class
GARCHfilter-class | class: GARCH Filter Class
GARCHfit-class | class: GARCH Fit Class
GARCHforecast-class | class: GARCH Forecast Class
GARCHpath-class | class: GARCH Path Simulation Class
GARCHroll-class | class: GARCH Roll Class
GARCHsim-class | class: GARCH Simulation Class
GARCHspec-class | class: GARCH Spec Class
GARCHtests-class | class: GARCH Tests Class
generatefwd | A small set of utilities to work with some time and date classes.
getspec | class: Univariate GARCH Fit Class
getspec-method | class: ARFIMA Fit Class
getspec-method | class: Univariate GARCH Fit Class
ghyptransform | Distribution: Generalized Hyperbolic Transformation and Scaling
GMMTest | The GMM Orthogonality Test of Hansen
gof | class: Univariate GARCH Fit Class
gof-method | class: Univariate GARCH Filter Class
gof-method | class: Univariate GARCH Fit Class

## -- H --

halflife | class: Univariate GARCH Fit Class
halflife-method | class: Univariate GARCH Filter Class
halflife-method | class: Univariate GARCH Fit Class
halflife-method | class: Univariate GARCH Specification Class
HLTest | The Non-Parametric Density Test of Hong and Li

## -- I --

infocriteria | class: Univariate GARCH Fit Class
infocriteria-method | class: ARFIMA Filter Class
infocriteria-method | class: ARFIMA Fit Class
infocriteria-method | class: Univariate GARCH Filter Class
infocriteria-method | class: Univariate GARCH Fit Class

## -- L --

likelihood | class: Univariate GARCH Fit Class
likelihood-method | class: ARFIMA Filter Class
likelihood-method | class: ARFIMA Fit Class
likelihood-method | class: ARFIMA Multiple Filter Class
likelihood-method | class: ARFIMA Multiple Fit Class
likelihood-method | class: Univariate GARCH Filter Class
likelihood-method | class: Univariate GARCH Fit Class
likelihood-method | class: Univariate GARCH Multiple Filter Class
likelihood-method | class: Univariate GARCH Multiple Fit Class

## -- M --

mcsTest | Model Confidence Set Test
move | A small set of utilities to work with some time and date classes.
multifilter | function: Univariate GARCH and ARFIMA Multiple Filtering
multifilter-method | function: Univariate GARCH and ARFIMA Multiple Filtering
multifilter-methods | function: Univariate GARCH and ARFIMA Multiple Filtering
multifit | function: Univariate GARCH and ARFIMA Multiple Fitting
multifit-method | function: Univariate GARCH and ARFIMA Multiple Fitting
multifit-methods | function: Univariate GARCH and ARFIMA Multiple Fitting
multiforecast | function: Univariate GARCH and ARFIMA Multiple Forecasting
multiforecast-method | function: Univariate GARCH and ARFIMA Multiple Forecasting
multiforecast-methods | function: Univariate GARCH and ARFIMA Multiple Forecasting
multispec | function: Univariate multiple GARCH Specification
multispec-method | function: Univariate multiple GARCH Specification
multispec-methods | function: Univariate multiple GARCH Specification

## -- N --

newsimpact | class: Univariate GARCH Fit Class
newsimpact-method | class: Univariate GARCH Filter Class
newsimpact-method | class: Univariate GARCH Fit Class
nyblom | class: Univariate GARCH Fit Class
nyblom-method | class: Univariate GARCH Fit Class

## -- P --

pdist | Distribution: rugarch distribution functions
persistence | class: Univariate GARCH Fit Class
persistence-method | class: Univariate GARCH Filter Class
persistence-method | class: Univariate GARCH Fit Class
persistence-method | class: Univariate GARCH Specification Class
pit | class: Univariate GARCH Fit Class
pit-method | class: Univariate GARCH Filter Class
pit-method | class: Univariate GARCH Fit Class
pit-method | class: Univariate GARCH Rolling Forecast Class
plot-method | class: Univariate GARCH Bootstrap Class
plot-method | class: Univariate GARCH Parameter Distribution Class
plot-method | class: Univariate GARCH Filter Class
plot-method | class: Univariate GARCH Fit Class
plot-method | class: Univariate GARCH Forecast Class
plot-method | class: Univariate GARCH Path Simulation Class
plot-method | class: Univariate GARCH Rolling Forecast Class
plot-method | class: Univariate GARCH Simulation Class

## -- Q --

qdist | Distribution: rugarch distribution functions
quantile-method | class: Univariate GARCH Filter Class
quantile-method | class: Univariate GARCH Fit Class
quantile-method | class: Univariate GARCH Forecast Class
quantile-method | class: Univariate GARCH Path Simulation Class
quantile-method | class: Univariate GARCH Rolling Forecast Class
quantile-method | class: Univariate GARCH Simulation Class

## -- R --

rdist | Distribution: rugarch distribution functions
reduce | class: Univariate GARCH Fit Class
reduce-method | class: ARFIMA Fit Class
reduce-method | class: Univariate GARCH Fit Class
report | class: Univariate GARCH Rolling Forecast Class
report-method | class: ARFIMA Rolling Forecast Class
report-method | class: Univariate GARCH Rolling Forecast Class
residuals-method | class: ARFIMA Filter Class
residuals-method | class: ARFIMA Fit Class
residuals-method | class: ARFIMA Multiple Filter Class
residuals-method | class: ARFIMA Multiple Fit Class
residuals-method | class: Univariate GARCH Filter Class
residuals-method | class: Univariate GARCH Fit Class
residuals-method | class: Univariate GARCH Multiple Filter Class
residuals-method | class: Univariate GARCH Multiple Fit Class
resume | class: Univariate GARCH Rolling Forecast Class
resume-method | class: ARFIMA Rolling Forecast Class
resume-method | class: Univariate GARCH Rolling Forecast Class
rGARCH-class | class: rGARCH Class
rgarchdist | Distribution: rugarch distribution functions
rugarch | The rugarch package

## -- S --

setbounds<- | class: Univariate GARCH Specification Class
setbounds<--method | class: ARFIMA Specification Class
setbounds<--method | class: Univariate GARCH Specification Class
setfixed<- | class: Univariate GARCH Specification Class
setfixed<--method | class: ARFIMA Specification Class
setfixed<--method | class: Univariate GARCH Specification Class
setstart<- | class: Univariate GARCH Specification Class
setstart<--method | class: ARFIMA Specification Class
setstart<--method | class: Univariate GARCH Specification Class
show-method | class: ARFIMA Parameter Distribution Class
show-method | class: ARFIMA Filter Class
show-method | class: ARFIMA Fit Class
show-method | class: ARFIMA Forecast Class
show-method | class: ARFIMA Multiple Filter Class
show-method | class: ARFIMA Multiple Fit Class
show-method | class: ARFIMA Multiple Forecast Class
show-method | class: ARFIMA Multiple Specification Class
show-method | class: ARFIMA Path Simulation Class
show-method | class: ARFIMA Rolling Forecast Class
show-method | class: ARFIMA Simulation Class
show-method | class: ARFIMA Specification Class
show-method | class: Univariate GARCH Bootstrap Class
show-method | class: Univariate GARCH Parameter Distribution Class
show-method | class: Univariate GARCH Filter Class
show-method | class: Univariate GARCH Fit Class
show-method | class: Univariate GARCH Forecast Class
show-method | class: Univariate GARCH Multiple Filter Class
show-method | class: Univariate GARCH Multiple Fit Class
show-method | class: Univariate GARCH Multiple Forecast Class
show-method | class: Univariate GARCH Multiple Specification Class
show-method | class: Univariate GARCH Path Simulation Class
show-method | class: Univariate GARCH Rolling Forecast Class
show-method | class: Univariate GARCH Simulation Class
show-method | class: Univariate GARCH Specification Class
sigma | class: Univariate GARCH Fit Class
sigma-method | class: Univariate GARCH Filter Class
sigma-method | class: Univariate GARCH Fit Class
sigma-method | class: Univariate GARCH Forecast Class
sigma-method | class: Univariate GARCH Multiple Filter Class
sigma-method | class: Univariate GARCH Multiple Fit Class
sigma-method | class: Univariate GARCH Multiple Forecast Class
sigma-method | class: Univariate GARCH Path Simulation Class
sigma-method | class: Univariate GARCH Simulation Class
signbias | class: Univariate GARCH Fit Class
signbias-method | class: Univariate GARCH Filter Class
signbias-method | class: Univariate GARCH Fit Class
signbias-methods | class: Univariate GARCH Fit Class
skdomain | Distribution: rugarch distribution functions
sp500ret | data: Standard and Poors 500 Closing Value Log Return
spyreal | data: SPDR Standard and Poors 500 Open-Close Daily Return and Realized Kernel Volatility

## -- U --

ugarchbench | Benchmark: The Benchmark Test Suite
ugarchboot | function: Univariate GARCH Forecast via Bootstrap
uGARCHboot-class | class: Univariate GARCH Bootstrap Class
ugarchboot-method | function: Univariate GARCH Forecast via Bootstrap
ugarchboot-methods | function: Univariate GARCH Forecast via Bootstrap
ugarchdistribution | function: Univariate GARCH Parameter Distribution via Simulation
uGARCHdistribution-class | class: Univariate GARCH Parameter Distribution Class
ugarchdistribution-method | function: Univariate GARCH Parameter Distribution via Simulation
ugarchdistribution-methods | function: Univariate GARCH Parameter Distribution via Simulation
ugarchfilter | function: Univariate GARCH Filtering
uGARCHfilter-class | class: Univariate GARCH Filter Class
ugarchfilter-method | function: Univariate GARCH Filtering
ugarchfilter-methods | function: Univariate GARCH Filtering
ugarchfit | function: Univariate GARCH Fitting
uGARCHfit-class | class: Univariate GARCH Fit Class
ugarchfit-method | function: Univariate GARCH Fitting
ugarchfit-methods | function: Univariate GARCH Fitting
ugarchforecast | function: Univariate GARCH Forecasting
uGARCHforecast-class | class: Univariate GARCH Forecast Class
ugarchforecast-method | function: Univariate GARCH Forecasting
ugarchforecast-methods | function: Univariate GARCH Forecasting
uGARCHmultifilter-class | class: Univariate GARCH Multiple Filter Class
uGARCHmultifit-class | class: Univariate GARCH Multiple Fit Class
uGARCHmultiforecast-class | class: Univariate GARCH Multiple Forecast Class
uGARCHmultispec-class | class: Univariate GARCH Multiple Specification Class
ugarchpath | function: Univariate GARCH Path Simulation
uGARCHpath-class | class: Univariate GARCH Path Simulation Class
ugarchpath-method | function: Univariate GARCH Path Simulation
ugarchpath-methods | function: Univariate GARCH Path Simulation
ugarchroll | function: Univariate GARCH Rolling Density Forecast and Backtesting
uGARCHroll-class | class: Univariate GARCH Rolling Forecast Class
ugarchroll-method | function: Univariate GARCH Rolling Density Forecast and Backtesting
ugarchroll-methods | function: Univariate GARCH Rolling Density Forecast and Backtesting
ugarchsim | function: Univariate GARCH Simulation
uGARCHsim-class | class: Univariate GARCH Simulation Class
ugarchsim-method | function: Univariate GARCH Simulation
ugarchsim-methods | function: Univariate GARCH Simulation
ugarchspec | function: Univariate GARCH Specification
uGARCHspec-class | class: Univariate GARCH Specification Class
ugarchspec-method | function: Univariate GARCH Specification
ugarchspec-methods | function: Univariate GARCH Specification
uncmean | class: Univariate GARCH Fit Class
uncmean-method | class: ARFIMA Filter Class
uncmean-method | class: ARFIMA Fit Class
uncmean-method | class: ARFIMA Specification Class
uncmean-method | class: Univariate GARCH Filter Class
uncmean-method | class: Univariate GARCH Fit Class
uncmean-method | class: Univariate GARCH Specification Class
uncvariance | class: Univariate GARCH Fit Class
uncvariance-method | class: Univariate GARCH Filter Class
uncvariance-method | class: Univariate GARCH Fit Class
uncvariance-method | class: Univariate GARCH Specification Class

## -- V --

VaRDurTest | VaR Duration Test
VaRloss | Value at Risk loss function of Gonzalez-Rivera, Lee, and Mishra (2004)
VaRplot | Value at Risk Exceedances plot
VaRTest | Value at Risk Exceedances Test
vcov-method | class: ARFIMA Fit Class
vcov-method | class: Univariate GARCH Fit Class