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ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.
| Version: | 1.5-3 |
| 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: | 2024-09-22 |
| DOI: | 10.32614/CRAN.package.rugarch |
| 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 |
| Reference manual: | rugarch.pdf |
| Vignettes: |
Introduction to the rugarch package (source) |
| Package source: | rugarch_1.5-3.tar.gz |
| Windows binaries: | r-devel: rugarch_1.5-3.zip, r-release: rugarch_1.5-3.zip, r-oldrel: rugarch_1.5-3.zip |
| macOS binaries: | r-release (arm64): rugarch_1.5-3.tgz, r-oldrel (arm64): rugarch_1.5-3.tgz, r-release (x86_64): rugarch_1.5-3.tgz, r-oldrel (x86_64): rugarch_1.5-3.tgz |
| Old sources: | rugarch archive |
| Reverse depends: | iClick, rmgarch |
| Reverse imports: | ARMALSTM, dccmidas, harbinger, portvine, PWEV, qrmtools, quarks, RMOPI, SBAGM, tseriesTARMA, ufRisk, WaveletGARCH |
| Reverse suggests: | AER, copula, facmodCS, facmodTS, highfrequency, RTL, tsDyn, xdcclarge, zenplots |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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