rugarch: Univariate GARCH Models (original) (raw)
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 file |
| URL: | https://github.com/alexiosg/rugarch |
| NeedsCompilation: | yes |
| Citation: | rugarch citation info |
| Materials: | README, |
| In views: | Finance, TimeSeries |
| CRAN checks: | rugarch results |
Documentation:
Downloads:
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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