rugarch

Univariate GARCH Models

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

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Description file content

Package
rugarch
Type
Package
Title
Univariate GARCH Models
Version
1.4-1
Date
2019-01-15
Depends
R (>= 3.0.2), methods, parallel
LinkingTo
Rcpp (>= 0.10.6), RcppArmadillo (>= 0.2.34)
Imports
Rsolnp, nloptr, ks, numDeriv, spd, xts, zoo, chron, SkewHyperbolic, expm, Rcpp,graphics, stats, grDevices, utils
Description
ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.
Collate
rugarch-imports.R rugarch-cwrappers.R rugarch-solvers.R rugarch-lossfn.R rugarch-distributions.R rugarch-kappa.R rugarch-helperfn.R rugarch-numderiv.R rugarch-series.R rugarch-startpars.R rugarch-tests.R rugarch-armafor.R rugarch-graphs.R rugarch-classes.R rugarch-sgarch.R rugarch-figarch.R rugarch-csgarch.R rugarch-fgarch.R rugarch-egarch.R rugarch-gjrgarch.R rugarch-aparch.R rugarch-igarch.R rugarch-mcsgarch.R rugarch-realgarch.R rugarch-multi.R rugarch-plots.R rugarch-rolling.R rugarch-uncertainty.R rugarch-bootstrap.R rugarch-methods.R rugarch-benchmarks.R arfima-classes.R arfima-multi.R arfima-main.R arfima-methods.R rugarch-cv.R zzz.R
LazyLoad
yes
URL
License
GPL-3
RoxygenNote
6.0.1
NeedsCompilation
yes
Packaged
2019-01-16 04:03:17 UTC; alexi
Author
Alexios Ghalanos [aut, cre], Tobias Kley [ctb]
Maintainer
Alexios Ghalanos
Repository
CRAN
Date/Publication
2019-01-16 06:20:04 UTC

install.packages('rugarch')

1.4-1

9 months ago

http://www.unstarched.net

Alexios Ghalanos

GPL-3

Depends on

R (>= 3.0.2), methods, parallel

Imports

Rsolnp, nloptr, ks, numDeriv, spd, xts, zoo, chron, SkewHyperbolic, expm, Rcpp,graphics, stats, grDevices, utils

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