ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.
| Version: |
1.5-3 |
| Depends: |
R (≥ 3.5.0), methods, parallel |
| Imports: |
Rsolnp, ks, numDeriv, spd, xts, zoo, chron, SkewHyperbolic, Rcpp, graphics, fracdiff, stats, grDevices, utils, nloptr |
| LinkingTo: |
Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34) |
| Suggests: |
knitr, rmarkdown |
| Published: |
2024-09-22 |
| DOI: |
10.32614/CRAN.package.rugarch |
| Author: |
Alexios Galanos [aut, cre],
Tobias Kley [ctb] |
| Maintainer: |
Alexios Galanos <alexios at 4dscape.com> |
| License: |
GPL-3 |
| Copyright: |
see file COPYRIGHTS |
| URL: |
http://www.unstarched.net, https://github.com/alexiosg/rugarch |
| NeedsCompilation: |
yes |
| Citation: |
rugarch citation info |
| Materials: |
README ChangeLog |
| In views: |
Finance, TimeSeries |
| CRAN checks: |
rugarch results |