rmgarch: Multivariate GARCH Models (original) (raw)

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

Version: 1.4-2
Depends: R (≥ 3.0.2), methods, rugarch (≥ 1.4-7), parallel
Imports: Rsolnp, MASS, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp, utils, graphics, stats, grDevices, corpcor
LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34)
Published: 2025-08-31
DOI: 10.32614/CRAN.package.rmgarch
Author: Alexios Galanos ORCID iD [aut, cre, cph]
Maintainer: Alexios Galanos <alexios at 4dscape.com>
License: GPL-3
URL: https://github.com/alexiosg/rmgarch
NeedsCompilation: yes
Citation: rmgarch citation info
Materials:
In views: Finance
CRAN checks: rmgarch results

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