wARMASVp: Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models

Estimation, simulation, hypothesis testing, and forecasting for univariate higher-order stochastic volatility SV(p) models. Supports Gaussian, Student-t, and Generalized Error Distribution (GED) innovations, with optional leverage effects. Estimation uses closed-form Winsorized ARMA-SV (W-ARMA-SV) moment-based methods that avoid numerical optimization. Hypothesis testing includes Local Monte Carlo (LMC) and Maximized Monte Carlo (MMC) procedures for leverage effects, heavy tails, and autoregressive order selection. Forecasting is based on Kalman filtering and smoothing. See Ahsan and Dufour (2021) <doi:10.1016/j.jeconom.2020.01.018>, Ahsan, Dufour, and Rodriguez Rondon (2025) for details.

Version:	0.1.0
Imports:	Rcpp (≥ 1.0.0), gsignal, stats
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	pso, GenSA, testthat (≥ 3.0.0), knitr, rmarkdown
Published:	2026-04-22
DOI:	10.32614/CRAN.package.wARMASVp
Author:	Gabriel Rodriguez Rondon [aut, cre], Nazmul Ahsan [aut], Jean-Marie Dufour [aut]
Maintainer:	Gabriel Rodriguez Rondon <gabriel.rodriguezrondon at mail.mcgill.ca>
BugReports:	https://github.com/roga11/wARMASVp/issues
License:	GPL (≥ 3)
URL:	https://github.com/roga11/wARMASVp
NeedsCompilation:	yes
Citation:	wARMASVp citation info
Materials:	README, NEWS
CRAN checks:	wARMASVp results

Documentation:

Reference manual:	wARMASVp.html , wARMASVp.pdf
Vignettes:	Getting Started with wARMASVp (source, R code)

Downloads:

Package source:	wARMASVp_0.1.0.tar.gz
Windows binaries:	r-release: wARMASVp_0.1.0.zip, r-oldrel: wARMASVp_0.1.0.zip
macOS binaries:	r-release (arm64): wARMASVp_0.1.0.tgz, r-oldrel (arm64): wARMASVp_0.1.0.tgz, r-release (x86_64): wARMASVp_0.1.0.tgz, r-oldrel (x86_64): wARMASVp_0.1.0.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=wARMASVp to link to this page.