Rugarch

rugarch: Univariate GARCH Models. ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Keywords for this software

Anything in here will be replaced on browsers that support the canvas element

References in zbMATH (referenced in 5 articles )

Showing results 1 to 5 of 5.
Sorted by year (citations)

  1. Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; Jelic, Ranko: Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach (2016)
  2. Wang, Chuan-Sheng; Zhao, Zhibiao: Conditional Value-at-Risk: semiparametric estimation and inference (2016)
  3. Ehlert, Andree; Fiebig, Ulf-Rainer; Janßen, Anja; Schlather, Martin: Joint extremal behavior of hidden and observable time series with applications to GARCH processes (2015)
  4. Schmitt, Thilo A.; Schäfer, Rudi; Dette, Holger; Guhr, Thomas: Quantile correlations: uncovering temporal dependencies in financial time series (2015)
  5. Elatraby, Amr Ibrahim Abdelrahman; Elwaqdy, Ahmed Fathy Abdelaal: Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market (2014)