CRAN/E | rmgarch

rmgarch

Multivariate GARCH Models

Installation

About

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

Citation rmgarch citation info
www.unstarched.net
github.com/alexiosg/rmgarch
Copyright see file COPYRIGHTS

Key Metrics

Version 1.3-9
R ≥ 3.0.2
Published 2022-02-05 815 days ago
Needs compilation? yes
License GPL-3
CRAN checks rmgarch results

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Maintainer

Maintainer

Alexios Galanos

alexios@4dscape.com

Authors

Alexios Galanos

Material

README
ChangeLog
Reference manual
Package source

In Views

Finance

Vignettes

The rmgarch models: Background and properties

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

rmgarch archive

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

Reverse Imports

VIRF