R Observatory: Metrics for dccmidas version 0.1.3

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

dccmidas

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

0packages depend

3.3Kdownloads / year

–test coverage

13/13flavors OK

Overview

About

Maintained by Vincenzo CandilaCRAN 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.

Changes in 0.1.3

Fixed bugs in the estimation routines. Thanks to Matthias Fengler for reporting the issue and for his helpful suggestions.

From NEWS.md in the release

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. We list this channel from recorded r2u download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

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). We list this channel from recorded autoCRAN download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

Health

CRAN checks

13OK

CRAN check page ↗

Slowest check: 4.2 min · r-devel-windows-x86_64

Status changes

OK13 OK2026-08-05
NOTE12 OK, 1 NOTE2026-08-01
OK14 OK2026-04-22
ERROR13 OK, 1 ERROR2026-04-18
OK14 OK2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 0.1.3

READMENoVignettesNoNEWSYes · 100% structured · mentions 0.1.3Citation fileYes · computed when R runs itWebsitenot declared in DESCRIPTION

Help pages: 30 (18 internal)
Examples that run: 50%6 run in a plain check · 6 only when donttest examples are enabled (R CMD check --as-cran)
Exported functions with examples: 20%
Documented parameters: 100%
Return-value docs: 100%
Help pages citing references: 70% with a bibliography file

How these are measured

Downloads

3.3K

CRAN downloads in the past year

Rank #8,535 · ~9/day · ~272/mo

Releases R versions

Daily download trend is not available in this view yet.

47730 days

1.1K90 days

3.3K1 year

Compare downloads with other packages →

Also on474 r2u8 autocran

How downloads are counted

Dependencies

Declared dependencies

11 external dependencies (excludes base and recommended)

Installing dccmidas adds 47 packages (30 with compiled code, 25 MB of source tarballs). Heaviest: mclust 2.7 MB, rugarch 2.6 MB, nloptr 2.1 MB.

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.

How these are counted

Code & Tests

Datasets

People & History

People (1)

Vincenzo Candila

Author, Maintainer since 0.1.0 (2021)

Releases (3)

Pick two releases to compare their code metrics.

0.1.3Latest
record
2026-09-09 · current release · diff ↗
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
0.1.2
record
2024-02-21 · 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
record
2021-03-15
R
R 4.0.0 released · 2020-04-24

Package metadata

First published: 2021-03-15
Total releases: 3 / 5 yrs
License: GPL-3 OSI
Minimum R: ≥ 4.0.0
Bundled data: 282 KB / 4 files
Download size: 343 KB

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("dccmidas")

The package provides a citation file that builds its entry when R runs it. Run citation() to see it.

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 0.1.3 [Data set]. HJJB, LLC. Data release v2026-10-22. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-22, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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