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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, ConnectednessApproach, dccmidas, harbinger, portvine, PWEV, qrmtools, quarks, RMOPI, SBAGM, tseriesTARMA, ufRisk, WaveletGARCH |
| Reverse suggests: | AER, copula, facmodCS, facmodTS, highfrequency, RTL, tsDyn, xdcclarge, zenplots |
Please use the canonical form https://CRAN.R-project.org/package=rugarch to link to this page.
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.