CRAN/E | rugarch

rugarch

Univariate GARCH Models

Installation

About

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

Citation rugarch citation info
www.unstarched.net
github.com/alexiosg/rugarch
Copyright see file COPYRIGHTS

Key Metrics

Version 1.5-1
R ≥ 3.5.0
Published 2023-09-20 383 days ago
Needs compilation? yes
License GPL-3
CRAN checks rugarch results

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Maintainer

Maintainer

Alexios Galanos

Authors

Alexios Galanos

aut / cre

Tobias Kley

ctb

Material

README
ChangeLog
Reference manual
Package source

In Views

Finance
TimeSeries

Vignettes

Introduction to the rugarch package

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

rugarch archive

Depends

R ≥ 3.5.0
methods
parallel

Imports

Rsolnp
ks
numDeriv
spd
xts
zoo
chron
SkewHyperbolic
Rcpp
graphics
stats
grDevices
utils
nloptr

Suggests

knitr
rmarkdown

LinkingTo

Rcpp ≥ 0.10.6
RcppArmadillo ≥ 0.2.34

Reverse Depends

iClick
rmgarch

Reverse Imports

ConnectednessApproach
dccmidas
harbinger
portvine
qrmtools
quarks
RMOPI
SBAGM
tseriesTARMA
ufRisk
WaveletGARCH

Reverse Suggests

AER
copula
facmodCS
highfrequency
JFE
RTL
tsDyn
xdcclarge
zenplots