rugarch: Univariate GARCH Models
ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.
| Version: | 1.5-4 |
| Depends: | R (≥ 3.5.0), methods, parallel |
| Imports: | Rsolnp,ks,numDeriv,spd,xts,zoo,chron,SkewHyperbolic,Rcpp, graphics,fracdiff, stats, grDevices, utils,nloptr |
| LinkingTo: | Rcpp (≥ 0.10.6),RcppArmadillo (≥ 0.2.34) |
| Suggests: | knitr,rmarkdown |
| Published: | 2025-06-21 |
| DOI: | 10.32614/CRAN.package.rugarch |
| Author: | Alexios Galanos [aut, cre, cph], Tobias Kley [ctb] |
| Maintainer: | Alexios Galanos <alexios at 4dscape.com> |
| License: | GPL-3 |
| Copyright: | see fileCOPYRIGHTS |
| URL: | https://github.com/alexiosg/rugarch |
| NeedsCompilation: | yes |
| Citation: | rugarch citation info |
| Materials: | README,ChangeLog |
| In views: | Finance,TimeSeries |
| CRAN checks: | rugarch results |
Documentation:
| Reference manual: | rugarch.html ,rugarch.pdf |
| Vignettes: | Introduction to the rugarch package (source) |
Downloads:
| Package source: | rugarch_1.5-4.tar.gz |
| Windows binaries: | r-devel:rugarch_1.5-4.zip, r-release:rugarch_1.5-4.zip, r-oldrel:rugarch_1.5-4.zip |
| macOS binaries: | r-release (arm64):rugarch_1.5-4.tgz, r-oldrel (arm64):rugarch_1.5-4.tgz, r-release (x86_64):rugarch_1.5-4.tgz, r-oldrel (x86_64):rugarch_1.5-4.tgz |
| Old sources: | rugarch archive |
Reverse dependencies:
| Reverse depends: | rmgarch |
| Reverse imports: | ARMALSTM,ConnectednessApproach,dccmidas,fEGarch,harbinger,iClick,portvine,PWEV,qrmtools,quarks,RMOPI,robustGarch,SBAGM,tseriesTARMA,ufRisk,WaveletGARCH |
| Reverse suggests: | AER,copula,facmodCS,facmodTS,highfrequency,nvmix,RTL,tsDyn,xdcclarge,zenplots |
Linking:
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