rmgarch: Multivariate GARCH Models

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

Version: 1.3-9
Depends: R (≥ 3.0.2), methods, rugarch (≥ 1.4-7), parallel
Imports: Rsolnp, MASS, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp, utils, graphics, stats, grDevices, corpcor
LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34)
Published: 2022-02-05
DOI: 10.32614/CRAN.package.rmgarch
Author: Alexios Galanos
Maintainer: Alexios Galanos <alexios at 4dscape.com>
License: GPL-3
Copyright: see file COPYRIGHTS
URL: http://www.unstarched.net, https://github.com/alexiosg/rmgarch
NeedsCompilation: yes
Citation: rmgarch citation info
Materials: README ChangeLog
In views: Finance
CRAN checks: rmgarch results


Reference manual: rmgarch.pdf
Vignettes: The rmgarch models: Background and properties


Package source: rmgarch_1.3-9.tar.gz
Windows binaries: r-devel: rmgarch_1.3-9.zip, r-release: rmgarch_1.3-9.zip, r-oldrel: rmgarch_1.3-9.zip
macOS binaries: r-release (arm64): rmgarch_1.3-9.tgz, r-oldrel (arm64): rmgarch_1.3-9.tgz, r-release (x86_64): rmgarch_1.3-9.tgz, r-oldrel (x86_64): rmgarch_1.3-9.tgz
Old sources: rmgarch archive

Reverse dependencies:

Reverse imports: ConnectednessApproach, VIRF


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