Welcome to MUArch’s documentation!

This is a wrapper on top of Kevin Sheppard’s ARCH package. The purpose of which are to:

  1. Enable faster Monte Carlo simulation

  2. Simulate innovations through copula marginals

In the package, there are 2 classes to aid you - UArch and MUArch. The UArch class can be defined using a similar API to arch_model() in the original arch package. The MUArch is a collection of these UArch models.

Thus, if you have a function that generates uniform marginals, like a copula, you can create a dependence structure among the different marginals when simulating the GARCH processes.

If you need a copula package, I have one here. :)

Indices and tables