rugarch: Univariate GARCH Models

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

Version: 1.4-8
Depends: R (≥ 3.5.0), methods, parallel
Imports: Rsolnp, ks, numDeriv, spd, xts, zoo, chron, SkewHyperbolic, Rcpp, graphics, stats, grDevices, utils
LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34)
Published: 2022-04-19
Author: Alexios Galanos [aut, cre], Tobias Kley [ctb]
Maintainer: Alexios Galanos <alexios at 4dscape.com>
License: GPL-3
Copyright: see file COPYRIGHTS
URL: http://www.unstarched.net, 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.pdf
Vignettes: Introduction to the rugarch package

Downloads:

Package source: rugarch_1.4-8.tar.gz
Windows binaries: r-devel: rugarch_1.4-8.zip, r-release: rugarch_1.4-8.zip, r-oldrel: rugarch_1.4-8.zip
macOS binaries: r-release (arm64): rugarch_1.4-8.tgz, r-oldrel (arm64): rugarch_1.4-8.tgz, r-release (x86_64): rugarch_1.4-8.tgz, r-oldrel (x86_64): rugarch_1.4-8.tgz
Old sources: rugarch archive

Reverse dependencies:

Reverse depends: iClick, rmgarch
Reverse imports: dccmidas, qrmtools, quarks, SBAGM, ufRisk, WaveletGARCH
Reverse suggests: AER, copula, highfrequency, JFE, RTL, tsDyn, xdcclarge, zenplots

Linking:

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