rugarch: Univariate GARCH Models

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Version:	1.5-4
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:	2025-06-21
DOI:	10.32614/CRAN.package.rugarch
Author:	Alexios Galanos [aut, cre, cph], Tobias Kley [ctb]
Maintainer:	Alexios Galanos <alexios at 4dscape.com>
License:	GPL-3
Copyright:	see file COPYRIGHTS
URL:	https://github.com/alexiosg/rugarch
NeedsCompilation:	yes
Citation:	rugarch citation info
Materials:	README, ChangeLog
In views:	Finance, TimeSeries
CRAN checks:	rugarch results

Documentation:

Reference manual:	rugarch.html , rugarch.pdf
Vignettes:	Introduction to the rugarch package (source)

Downloads:

Package source:	rugarch_1.5-4.tar.gz
Windows binaries:	r-devel: rugarch_1.5-4.zip, r-release: rugarch_1.5-4.zip, r-oldrel: rugarch_1.5-4.zip
macOS binaries:	r-release (arm64): rugarch_1.5-4.tgz, r-oldrel (arm64): rugarch_1.5-4.tgz, r-release (x86_64): rugarch_1.5-4.tgz, r-oldrel (x86_64): rugarch_1.5-4.tgz
Old sources:	rugarch archive

Reverse dependencies:

Reverse depends:	rmgarch
Reverse imports:	ARMALSTM, ConnectednessApproach, dccmidas, fEGarch, harbinger, iClick, portvine, PWEV, qrmtools, quarks, RMOPI, robustGarch, SBAGM, tseriesTARMA, ufRisk, WaveletGARCH
Reverse suggests:	AER, copula, facmodCS, facmodTS, highfrequency, nvmix, RTL, tsDyn, xdcclarge, zenplots

Linking:

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