Science Score: 13.0%
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○CITATION.cff file
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✓codemeta.json file
Found codemeta.json file -
○.zenodo.json file
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○Academic publication links
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○Scientific vocabulary similarity
Low similarity (11.8%) to scientific vocabulary
Keywords
Repository
Feasible Multivariate GARCH Models
Statistics
- Stars: 8
- Watchers: 1
- Forks: 0
- Open Issues: 1
- Releases: 0
Topics
Metadata Files
README.md
tsmarch 
tsmarch
The tsmarch package represents a re-write and re-think of the models
in rmgarch. It is written
using simpler S3 methods and classes, has a cleaner code base, extensive
documentation and unit tests, provides speed gains by making use of
parallelization in both R (via the future package) and in the C++ code
(via RcppParallel package), and works with the new univariate GARCH
package tsgarch.
Installation
The package can be installed from CRAN or the tsmodels github repo:
r
install.package("tsmarch")
remotes::install_github("tsmodels/tsmarch", dependencies = TRUE)
The online vignette with a demo is available here.
Some notes on the ICA based algorithms used in the GOGARCH model are available in a blog post.
Owner
- Name: tsmodels framework
- Login: tsmodels
- Kind: organization
- Website: https://tsmodels.github.io
- Repositories: 4
- Profile: https://github.com/tsmodels
A framework for time series forecasting models
GitHub Events
Total
- Issues event: 5
- Watch event: 7
- Issue comment event: 4
- Public event: 1
- Push event: 13
Last Year
- Issues event: 5
- Watch event: 7
- Issue comment event: 4
- Public event: 1
- Push event: 13
Packages
- Total packages: 1
-
Total downloads:
- cran 588 last-month
- Total dependent packages: 0
- Total dependent repositories: 0
- Total versions: 1
- Total maintainers: 1
cran.r-project.org: tsmarch
Multivariate ARCH Models
- Homepage: https://github.com/tsmodels/tsmarch
- Documentation: http://cran.r-project.org/web/packages/tsmarch/tsmarch.pdf
- License: GPL-2
-
Latest release: 1.0.0
published over 1 year ago
Rankings
Maintainers (1)
Dependencies
- r-hub/actions/checkout v1 composite
- r-hub/actions/platform-info v1 composite
- r-hub/actions/run-check v1 composite
- r-hub/actions/setup v1 composite
- r-hub/actions/setup-deps v1 composite
- r-hub/actions/setup-r v1 composite
- R >= 3.5.0 depends
- methods * depends
- tsmethods >= 1.0.2 depends
- Rcpp * imports
- RcppBessel * imports
- RcppParallel * imports
- Rdpack * imports
- Rsolnp * imports
- abind * imports
- data.table * imports
- future * imports
- future.apply * imports
- lubridate * imports
- nloptr * imports
- numDeriv * imports
- sandwich * imports
- shape * imports
- stats * imports
- tsdistributions >= 1.0.2 imports
- tsgarch >= 1.0.3 imports
- utils * imports
- xts * imports
- zoo * imports
- knitr * suggests
- rmarkdown * suggests
- testthat >= 3.0.0 suggests
- tstests * suggests
- actions/checkout v3 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
- r-lib/actions/setup-tinytex v2 composite