rmgarch: Multivariate GARCH Models

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH. See Boudt, Galanos, Payseur and Zivot (2019) for a review of multivariate GARCH models <doi:10.1016/bs.host.2019.01.001>.

Version: 1.3-7
Depends: R (≥ 3.0.2), methods, rugarch, 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: 2019-09-13
Author: Alexios Ghalanos
Maintainer: Alexios Ghalanos <alexios at 4dscape.com>
License: GPL-3
Copyright: see file COPYRIGHTS
URL: http://www.unstarched.net, https://bitbucket.org/alexiosg
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_1.3-7.tar.gz
Windows binaries: r-devel: rmgarch_1.3-7.zip, r-devel-UCRT: rmgarch_1.3-7.zip, r-release: rmgarch_1.3-7.zip, r-oldrel: rmgarch_1.3-7.zip
macOS binaries: r-release (arm64): rmgarch_1.3-7.tgz, r-release (x86_64): rmgarch_1.3-7.tgz, r-oldrel: rmgarch_1.3-7.tgz
Old sources: rmgarch archive

Reverse dependencies:

Reverse depends: garchmodels
Reverse imports: VIRF


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