Garch framework for use with the 'tidymodels' ecosystem. It includes both univariate and multivariate methods from the 'rugarch' and 'rmgarch' packages. These models include DCC-Garch, Copula Garch and Go-GARCH among others.
| Version: | 0.1.1 |
| Depends: | R (≥ 3.5.0), parsnip, rugarch, rmgarch |
| Imports: | rlang (≥ 0.1.2), magrittr, purrr, dplyr, stringr, tibble, tidyr, dials |
| Suggests: | tidymodels, tidyverse, modeltime, timetk, lubridate, knitr, rmarkdown, roxygen2, testthat (≥ 3.0.0), covr |
| Published: | 2021-04-12 |
| Author: | Alberto Almuiña [aut, cre] |
| Maintainer: | Alberto Almuiña <albertogonzalezalmuinha at gmail.com> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| In views: | Finance |
| CRAN checks: | garchmodels results |
| Reference manual: | garchmodels.pdf |
| Vignettes: |
Getting Started with garchmodels Tuning Univariate Garch Models |
| Package source: | garchmodels_0.1.1.tar.gz |
| Windows binaries: | r-devel: garchmodels_0.1.1.zip, r-release: garchmodels_0.1.1.zip, r-oldrel: garchmodels_0.1.1.zip |
| macOS binaries: | r-release (arm64): garchmodels_0.1.1.tgz, r-release (x86_64): garchmodels_0.1.1.tgz, r-oldrel: garchmodels_0.1.1.tgz |
| Old sources: | garchmodels archive |
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