rugarch: Univariate GARCH models

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

Version: 1.3-4
Depends: R (≥ 3.0.2), methods, parallel
Imports: Rsolnp, nloptr, ks, numDeriv, spd, xts, zoo, chron, SkewHyperbolic, expm, Rcpp
LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34)
Published: 2014-11-09
Author: Alexios Ghalanos
Maintainer: Alexios Ghalanos <alexios at>
License: GPL-3
Copyright: see file COPYRIGHTS
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
Package source: rugarch_1.3-4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: rugarch_1.3-4.tgz, r-oldrel: rugarch_1.3-4.tgz
OS X Mavericks binaries: r-release: rugarch_1.3-4.tgz
Old sources: rugarch archive

Reverse dependencies:

Reverse depends: rmgarch
Reverse suggests: copula, highfrequency