rugarch: Univariate GARCH models
ARFIMA, in-mean, external regressors and various GARCH
flavours, with methods for fit, forecast, simulation, inference
and plotting.
| Version: |
1.0-7 |
| Depends: |
R (≥ 2.10.0), Rcpp (≥ 0.8.5), RcppArmadillo (≥ 0.2.5), methods, numDeriv, chron, Rsolnp |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
xts, timeSeries, multicore, snowfall |
| Published: |
2011-12-24 |
| Author: |
Alexios Ghalanos |
| Maintainer: |
Alexios Ghalanos <alexios at 4dscape.com> |
| License: |
GPL-3 |
| SystemRequirements: |
GNU make |
| Citation: |
rugarch citation info |
| In views: |
Finance |
| CRAN checks: |
rugarch results |
Downloads: