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

Documentation

Manual: rugarch.pdf
Vignette: Introduction to the rugarch package

Maintainer: Alexios Ghalanos <alexios at 4dscape.com>

Author(s): Alexios Ghalanos <alexios at 4dscape.com>

Install package and any missing dependencies by running this line in your R console:

install.packages("rugarch")

Depends R (>= 3.0.2), methods, parallel
Imports Rsolnp, nloptr, ks, numDeriv, spd, xts, zoo, chron, SkewHyperbolic, expm, Rcpp, graphics, stats, grDevices, utils
Suggests
Enhances
Linking to Rcpp(>=0.10.6), RcppArmadillo(>=0.2.34)
Reverse
depends
iClick, rmgarch
Reverse
imports
highfrequency, QPBoot, qrmtools
Reverse
suggests
AER, copula, zenplots
Reverse
enhances
Reverse
linking to

Package rugarch
Materials
URL http://www.unstarched.net https://bitbucket.org/alexiosg
Task Views Finance , TimeSeries
Version 1.3-6
Published 2015-08-16
License GPL-3
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks rugarch check results
Package source rugarch_1.3-6.tar.gz