rmgarch: Multivariate GARCH Models
Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.
| Version: | 1.4-2 |
| 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) |
| Published: | 2025-08-31 |
| DOI: | 10.32614/CRAN.package.rmgarch |
| Author: | Alexios Galanos 
[aut, cre, cph] |
| Maintainer: | Alexios Galanos <alexios at 4dscape.com> |
| License: | GPL-3 |
| URL: | https://github.com/alexiosg/rmgarch |
| NeedsCompilation: | yes |
| Citation: | rmgarch citation info |
| Materials: | ChangeLog |
| In views: | Finance |
| CRAN checks: | rmgarch results |
Documentation:
| Reference manual: | rmgarch.html , rmgarch.pdf |
| Vignettes: |
The rmgarch models: Background and properties (source) |
Downloads:
| Package source: | rmgarch_1.4-2.tar.gz |
| Windows binaries: | r-devel: rmgarch_1.3-9.zip, r-release: rmgarch_1.3-9.zip, r-oldrel: rmgarch_1.4-2.zip |
| macOS binaries: | r-release (arm64): rmgarch_1.3-9.tgz, r-oldrel (arm64): rmgarch_1.3-9.tgz, r-release (x86_64): rmgarch_1.4-2.tgz, r-oldrel (x86_64): rmgarch_1.4-2.tgz |
| Old sources: | rmgarch archive |
Reverse dependencies:
| Reverse imports: | ConnectednessApproach, VIRF |
Linking:
Please use the canonical form https://CRAN.R-project.org/package=rmgarch to link to this page.