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-devel (arm64): rmgarch_1.3-9.tgz, r-release (arm64): rmgarch_1.3-9.tgz, r-oldrel (arm64): rmgarch_1.3-9.tgz, r-devel (x86_64): 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 imports: | ConnectednessApproach, VIRF |
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