garchf

Forecasting with GARCH models using an interface inspired by the forecast package.

garchf wraps rugarch models and returns objects of class "forecast" compatible with plotting and forecasting utilities from the forecast ecosystem.

Installation

# install.packages("remotes")

# remotes::install_github("Techtonique/garchf")
install.packages("garchf", repos = c('https://techtonique.r-universe.dev', 'https://cloud.r-project.org'))

Features

• Simple forecasting interface similar to forecast::thetaf()

• Multiple GARCH specifications:

  • sGARCH
  • eGARCH
  • gjrGARCH
  • apARCH
  • iGARCH

• Forecast objects compatible with:

  • plot()
  • autoplot()
  • accuracy()

• Prediction intervals

• Support for ts objects

Example

library(garchf)
library(forecast)
library(fpp2)

y <- fpp2::goog200

fit <- xgarchf(
  y,
  h = 20,
  model = "eGARCH"
)

plot(fit)

Supported models

Model	Description
sGARCH	Standard GARCH
eGARCH	Exponential GARCH
gjrGARCH	Glosten-Jagannathan-Runkle GARCH
apARCH	Asymmetric Power ARCH
iGARCH	Integrated GARCH

Dependencies

• rugarch

License

MIT License.