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

Estimation, simulation, hypothesis testing, AR-order selection, 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. AR-order selection is also available via information criteria (BIC/AIC) using the Kalman-filter quasi-likelihood and the Hannan-Rissanen ARMA residual variance. Forecasting is based on Kalman filtering and smoothing. See Ahsan and Dufour (2021) <doi:10.1016/j.jeconom.2021.03.008>, Ahsan, Dufour, and Rodriguez-Rondon (2025) <doi:10.1111/jtsa.12851>, and Ahsan, Dufour, and Rodriguez-Rondon (2026) <doi:10.34989/swp-2026-8> for details.

Version: 0.2.0
Imports: Rcpp (≥ 1.0.0), gsignal, stats
LinkingTo: Rcpp, RcppArmadillo
Suggests: pso, GenSA, testthat (≥ 3.0.0), knitr, rmarkdown
Published: 2026-05-15
DOI: 10.32614/CRAN.package.wARMASVp
Author: Gabriel Rodriguez-Rondon ORCID iD [aut, cre], Md. 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_0.2.0.tar.gz
Windows binaries: r-devel: wARMASVp_0.2.0.zip, r-release: wARMASVp_0.1.0.zip, r-oldrel: wARMASVp_0.1.0.zip
macOS binaries: r-release (arm64): wARMASVp_0.2.0.tgz, r-oldrel (arm64): wARMASVp_0.2.0.tgz, r-release (x86_64): wARMASVp_0.2.0.tgz, r-oldrel (x86_64): wARMASVp_0.2.0.tgz
Old sources: wARMASVp archive

Linking:

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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.