R Observatory: Metrics for dccmidas version 0.1.2

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

dccmidas

0.1.2

DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models

0packages depend

2.8Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Vincenzo CandilaFirst published 2021-03-152 releasesCRAN page ↗

Estimates a variety of Dynamic Conditional Correlation (DCC) models. More in detail, the 'dccmidas' package allows the estimation of the corrected DCC (cDCC) of Aielli (2013) doi:10.1080/07350015.2013.771027, the DCC-MIDAS of Colacito et al. (2011) doi:10.1016/j.jeconom.2011.02.013, the Asymmetric DCC of Cappiello et al. doi:10.1093/jjfinec/nbl005, and the Dynamic Equicorrelation (DECO) of Engle and Kelly (2012) doi:10.1080/07350015.2011.652048. 'dccmidas' offers the possibility of including standard GARCH doi:10.1016/0304-4076(86)90063-1, GARCH-MIDAS doi:10.1162/REST_a_00300 and Double Asymmetric GARCH-MIDAS doi:10.1016/j.econmod.2018.07.025 models in the univariate estimation. Moreover, also the scalar and diagonal BEKK doi:10.1017/S0266466600009063 models can be estimated. Finally, the package calculates also the var-cov matrix under two non-parametric models: the Moving Covariance and the RiskMetrics specifications.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("dccmidas", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-dccmidas

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-dccmidas

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-dccmidas

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 4.3 min · r-devel-windows-x86_64

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

9

Dependencies · direct

Check history

OK2026-08-05
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-04-22
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
13 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 55%
Documented parameters: 100%
Return-value docs: 100%
References docs: 70%

Downloads

2.8K

CRAN downloads in the past year

Rank #14,188 · ~8/day · ~235/mo

Releases R versions

Daily download trend is not available in this view yet.

19530 days

72590 days

2.8K1 year

Compare downloads with other packages →

Also on494 r2u26 autocran

Dependencies

Declared dependencies

11 external dependencies (excludes base and recommended)

Depends (1)

R >= 4.0.0

Imports (9)

maxLik rumidas rugarch roll xts Rdpack zoo (>= 1.8.8)statsutils

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (2)

knitr rmarkdown

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Datasets

People & History

People (1)

Maintainer (1)

Vincenzo Candila

Author, Maintainer

Authors (1)

Vincenzo Candila

Author, Maintainer

Package Timeline

2 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
0.1.2Latest
2024-02-21 · current release · diff ↗
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
R
R 4.1.0 released · 2021-05-18
0.1.0
2021-03-15
R
R 4.0.0 released · 2020-04-24

Package metadata

First published: 2021-03-15
Total releases: 2 / 5 yrs
License: GPL-3 OSI
Minimum R: ≥ 4.0.0
Bundled data: 282 KB / 4 files
Download size: 342 KB
Installed size: not tracked yet
With dependencies: not tracked yet

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("dccmidas")

Format

Candila, V. (2024). dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models (Version 0.1.2) [Computer software]. https://doi.org/10.32614/CRAN.package.dccmidas

This is what citation() produces when a package has no citation file of its own. If it prints something else, use that.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for dccmidas version 0.1.2 [Data set]. HJJB, LLC. Data release v2026-08-22. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-22, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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