R Observatory: Metrics for factorstochvol version 1.1.2

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

factorstochvol

1.1.2

Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

1packages depend

7.2Kdownloads / year

70.6%test coverage

13/13checks pass

Overview

About

Maintained by Gregor KastnerFirst published 2016-08-3116 releasesCRAN page ↗GitHub ↗

Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving doi:10.1080/10618600.2017.1322091. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix doi:10.1016/j.jeconom.2018.11.007.

Install

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

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

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

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("gregorkastner/factorstochvol")

Development version from gregorkastner/factorstochvol. Installs pak first if it is not already available.

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-factorstochvol

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-factorstochvol

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-factorstochvol

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

Health

CRAN checks

13OK

Slowest check: 5.5 min · r-devel-windows-x86_64

Code health

Yes

Tests · ratio 0.06

70.6%

Coverage · measured lines

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
OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-04-22
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE

Show 1 earlier snapshots

NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 0%
Documented parameters: 93%
Return-value docs: 100%
References docs: 5%

Downloads

7.2K

CRAN downloads in the past year

Rank #4,435 · ~20/day · ~603/mo

Releases R versions

Daily download trend is not available in this view yet.

38130 days

1.8K90 days

7.2K1 year

Compare downloads with other packages →

Also on496 r2u17 autocran50 c2d4u

Repository

GitHub ↗ gregorkastner/factorstochvol

9Stars

3Forks

0Open issues

0Open PRs

9Releases

209Commits

4Contributors

209 commits · Last activity 2026-03-30 · 0% stars, 30d

Stars over time

2025-03-10 · 82026-07-07 · 9

Repository practices

Upstream repositoryBeta

2 development-tooling and community-health practices detected across 2 families in the upstream repository

Checks run against github.com/gregorkastner/factorstochvol on 2026-08-16.

Reproducibility and dev environment (1)

Makefile

Git structural (1)

Submodules

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

13 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.0.2

Imports (9)

GIGrvg Rcpp corrplotmethodsgrDevicesgraphicsstatsutilsstochvol

LinkingTo (3)

Rcpp RcppArmadillo stochvol

Suggests (6)

LSD coda knitr RColorBrewer testthat zoo

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

1direct

0indirect

bayesianVARs bayesianVARs

Code & Tests

People & History

People (3)

Maintainer (1)

Gregor Kastner

Author, Maintainer

Authors (1)

Gregor Kastner

Author, Maintainer

Contributors (2)

Luis Gruber

Contributor · added in 1.0.0

Darjus Hosszejni

Contributor · added in 0.9.2

Package Timeline

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

R
R 4.6.0 released · 2026-04-24
1.1.2Latest
2026-03-30 · current release · diff ↗
1.1.1
2026-03-02 · diff ↗
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
1.1.0
2023-11-24 · diff ↗
1.0.6
2023-10-12 · diff ↗
unarchivedReturned to CRAN
2023-10-12
archivedRemoved from CRAN
2023-09-18
issues were not corrected in update nor further submission
1.0.2
2023-09-09 · diff ↗
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
1.0.1
2021-12-07 · diff ↗
1.0.0
2021-11-29 · diff ↗
R
R 4.1.0 released · 2021-05-18
0.10.2
2021-02-09 · diff ↗

Show 13 earlier events

0.10.1
2020-11-13 · diff ↗
0.10.0
2020-11-09 · diff ↗
R
R 4.0.0 released · 2020-04-24
0.9.3
2019-10-06 · diff ↗
0.9.2
2019-06-27 · diff ↗
R
R 3.6.0 released · 2019-04-26
0.9
2019-02-01 · diff ↗
R
R 3.5.0 released · 2018-04-23
R
R 3.4.0 released · 2017-04-21
0.8.3
2016-12-31 · diff ↗
0.8.2
2016-09-20 · diff ↗
0.8.1
2016-08-31
R
R 3.3.0 released · 2016-05-03

Package metadata

First published: 2016-08-31
Total releases: 16 / 10 yrs
License: GPL (>= 2) OSI
Minimum R: ≥ 3.0.2
Download size: 4.2 MB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Bayesian Inference Empirical Finance Time Series Analysis

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("factorstochvol")

Format

Kastner, G., Gruber, L., & Hosszejni, D. (2026). factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models (Version 1.1.2) [Computer software]. https://doi.org/10.32614/CRAN.package.factorstochvol

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 factorstochvol version 1.1.2 [Data set]. HJJB, LLC. Data release v2026-08-18. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-18, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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