rugarch: Univariate GARCH Models

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

Version: 1.4-4
Depends: R (≥ 3.5.0), methods, parallel
Imports: Rsolnp, nloptr, ks, numDeriv, spd, xts, zoo, chron, SkewHyperbolic, Rcpp, graphics, stats, grDevices, utils
LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34)
Published: 2020-07-16
Author: Alexios Ghalanos [aut, cre], Tobias Kley [ctb]
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_1.4-4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: rugarch_1.4-4.tgz, r-oldrel: rugarch_1.4-4.tgz
Old sources: rugarch archive

Reverse dependencies:

Reverse depends: iClick, rmgarch
Reverse imports: qrmtools, RTL, SBAGM, WaveletGARCH
Reverse suggests: AER, copula, highfrequency, JFE, xdcclarge, zenplots


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