Science Score: 36.0%
This score indicates how likely this project is to be science-related based on various indicators:
-
○CITATION.cff file
-
✓codemeta.json file
Found codemeta.json file -
✓.zenodo.json file
Found .zenodo.json file -
○DOI references
-
○Academic publication links
-
✓Committers with academic emails
1 of 5 committers (20.0%) from academic institutions -
○Institutional organization owner
-
○JOSS paper metadata
-
○Scientific vocabulary similarity
Low similarity (12.3%) to scientific vocabulary
Repository
Univariate GARCH models in R
Statistics
- Stars: 27
- Watchers: 2
- Forks: 7
- Open Issues: 1
- Releases: 0
Metadata Files
README.md
<!-- badges: start -->
<!-- badges: end -->
rugarch
The rugarch package is the premier open source software for univariate GARCH modelling. It is written in R using S4 methods and classes with a significant part of the code in C and C++ for speed. It contains a number of GARCH models beyond the vanilla version including IGARCH, EGARCH, GJR, APARCH, FGARCH, Component-GARCH, multiplicative Component-GARCH for high frequency returns and the realized-GARCH model, as well as a very large number of conditional distributions including (Skew)-Normal, (Skew)-GED, (Skew)-Student (Fernandez/Steel), (Skew)-Student (GH), Normal Inverse Gaussian (NIG), Generalized Hyperbolic (GH) and Johnson?s SU (JSU). The conditional mean equation includes ARFIMA and ARCH-in-mean, and is estimated in a joint step with the GARCH model. Both the conditional mean and variance parts allow for external regressors to be used. A comprehensive set of methods to work with these models are implemented, and include estimation, filtering, forecasting, simulation, inference tests and plots, with additional functionality in the form of the GARCH bootstrap, parameter uncertainty via the GARCH distribution function, misspecification tests (Hansen's GMM and Hong & Li Portmanteau type test), predictive accuracy tests (Pesaran & Timmermann, Anatolyev & Gerko), and Value at Risk tests (VaR Exceedances and Expected Shortfall tests).
The stable version is on CRAN. The development version is now on github.
Update 2025: The rugarch package will no longer be updated. Maintenance for bug fixes will continue until about 2027. Users should switch to the new tsgarch package instead.
Owner
- Name: Alexios Galanos
- Login: alexiosg
- Kind: user
- Location: Seattle
- Repositories: 3
- Profile: https://github.com/alexiosg
GitHub Events
Total
- Issues event: 2
- Watch event: 5
- Push event: 2
- Fork event: 2
Last Year
- Issues event: 2
- Watch event: 5
- Push event: 2
- Fork event: 2
Committers
Last synced: over 2 years ago
Top Committers
| Name | Commits | |
|---|---|---|
| Alexios Ghalanos | a****s@4****m | 83 |
| Alexander | a****t@g****m | 3 |
| Joshua Ulrich | j****h@g****m | 2 |
| Christian Haug-Johansen | c****j@g****m | 1 |
| tobiaskley | t****y@r****e | 1 |
Committer Domains (Top 20 + Academic)
Issues and Pull Requests
Last synced: over 2 years ago
All Time
- Total issues: 5
- Total pull requests: 0
- Average time to close issues: 6 months
- Average time to close pull requests: N/A
- Total issue authors: 4
- Total pull request authors: 0
- Average comments per issue: 0.8
- Average comments per pull request: 0
- Merged pull requests: 0
- Bot issues: 0
- Bot pull requests: 0
Past Year
- Issues: 3
- Pull requests: 0
- Average time to close issues: N/A
- Average time to close pull requests: N/A
- Issue authors: 2
- Pull request authors: 0
- Average comments per issue: 1.0
- Average comments per pull request: 0
- Merged pull requests: 0
- Bot issues: 0
- Bot pull requests: 0
Top Authors
Issue Authors
- waynelapierre (2)
- RebelionTheGrey (2)
- Prisje (1)
- Jidvei (1)
- krauuuus (1)
Pull Request Authors
- alexiosg (1)
Top Labels
Issue Labels
Pull Request Labels
Packages
- Total packages: 1
-
Total downloads:
- cran 33,780 last-month
- Total docker downloads: 43,581
- Total dependent packages: 24
- Total dependent repositories: 42
- Total versions: 36
- Total maintainers: 1
cran.r-project.org: rugarch
Univariate GARCH Models
- Homepage: https://github.com/alexiosg/rugarch
- Documentation: http://cran.r-project.org/web/packages/rugarch/rugarch.pdf
- License: GPL-3
-
Latest release: 1.5-4
published about 1 year ago
Rankings
Maintainers (1)
Dependencies
- R >= 3.5.0 depends
- methods * depends
- parallel * depends
- Rcpp * imports
- Rsolnp * imports
- SkewHyperbolic * imports
- chron * imports
- grDevices * imports
- graphics * imports
- ks * imports
- numDeriv * imports
- spd * imports
- stats * imports
- utils * imports
- xts * imports
- zoo * imports
- actions/checkout v2 composite
- r-lib/actions/check-r-package v2 composite
- r-lib/actions/setup-pandoc v2 composite
- r-lib/actions/setup-r v2 composite
- r-lib/actions/setup-r-dependencies v2 composite