R Observatory: Metrics for factorstochvol version 1.1.2

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

factorstochvol

1.1.2Package record

Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

1packages depend

7.7Kdownloads / year

70.6%test coverage

13/13flavors OK

Overview

About

Maintained by Gregor KastnerCRAN page ↗GitHub ↗Issues ↗

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.

Changes in 1.1.2

Replaced ::R_CheckUserInterrupt with Rcpp::checkUserInterrupt() for safe unwinding. Thanks to Luis Gruber for spotting this.
Initiation of Rcpp::exports attribute to avoid some segfaults on some toolchains. See https://github.com/gregorkastner/factorstochvol/pull/17 for details and thanks again to Luis.

From NEWS in the release

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. 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-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). 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: 5.9 min · r-oldrel-windows-x86_64

Status changes

OK13 OK2026-08-05
NOTE12 OK, 1 NOTE2026-08-01
OK12 OK2026-04-25
NOTE12 OK, 2 NOTE2026-04-22
ERROR11 OK, 2 NOTE, 1 ERROR2026-04-18

Show 1 earlier changeHide 1 earlier change

NOTE12 OK, 2 NOTE2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 1.1.2

README· In the repository, left out of the releaseVignettesYes · 1 · staticNEWSYes · 100% structured · mentions 1.1.2Citation fileYes · cites a publicationWebsitenot declared in DESCRIPTION

Cites a JSS article

Help pages: 43includes a package overview page
Examples that run: 0%13 only when donttest examples are enabled (R CMD check --as-cran)
Exported functions with examples: 28%
Documented parameters: 93%
Return-value docs: 100%
Help pages citing references: 5%

Vignettes (1)

Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol PDF

How these are measured

Downloads

7.7K

CRAN downloads in the past year

Rank #4,287 · ~21/day · ~640/mo

Releases R versions

Daily download trend is not available in this view yet.

82930 days

2K90 days

7.7K1 year

Compare downloads with other packages →

Also on476 r2u3 autocran167 c2d4u

How downloads are counted

Repository

gregorkastner/factorstochvol ↗Account: gregorkastner

10Stars

3Forks

0Open issues

0Open PRs

9Releases

209Commits

4Commit identities

209 commits · Last activity 2026-03-30 · +11.1% stars, 30d

Responsiveness

How these are sampled

PRs merged (all time): 100%
Median days to close, 50 most recently updated closed issues: 70
Median days to close, 50 most recently updated closed PRs: 4

Stars over time

2025-03-10 · 82026-09-28 · 10

How these are measured

PracticesBeta

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

Checks run against github.com/gregorkastner/factorstochvol on 2026-10-18.

Reproducibility and dev environment (1)

Makefile

Git structural (1)

Submodules

How this is detected·Detection ruleset v3 (2026-09-26)

Dependencies

Declared dependencies

13 external dependencies (excludes base and recommended)

Installing factorstochvol adds 6 packages (4 with compiled code, 9.7 MB of source tarballs). Heaviest: corrplot 3.6 MB, stochvol 3.2 MB, Rcpp 1.8 MB.

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

Imports 1 · LinkingTo 1

Depends, Imports or LinkingTo, most downloaded first

bayesianVARs

How these are counted

Code & Tests

People & History

People (3)

Gregor Kastner

Author, Maintainer since 0.8.1 (2016)

Luis Gruber

Contributor · added in 1.0.0

Darjus Hosszejni

Contributor · added in 0.9.2

Releases (16)

Pick two releases to compare their code metrics.

R
R 4.6.0 released · 2026-04-24
1.1.2Latest
record
2026-03-30 · current release · diff ↗
1.1.1
record
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
record
2023-11-24 · diff ↗
unarchivedReturned to CRAN
2023-10-12
1.0.6
record
2023-10-12 · diff ↗
archivedRemoved from CRAN
2023-09-18
issues were not corrected in update nor further submission
1.0.2
record
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
record
2021-12-07 · diff ↗
1.0.0
record
2021-11-29 · diff ↗ ·
added 1 export
paratraceplot
R
R 4.1.0 released · 2021-05-18
0.10.2
record
2021-02-09 · diff ↗

Show 13 earlier eventsHide 13 earlier events

0.10.1
record
2020-11-13 · diff ↗ ·
added 1 export
evdiag
0.10.0
record
2020-11-09 · diff ↗ ·
added 1 export
logret
R
R 4.0.0 released · 2020-04-24
0.9.3
record
2019-10-06 · diff ↗
0.9.2
record
2019-06-27 · diff ↗ ·
removed 2 exports
logret, paratraceplot

added 2 exports
cormat, plotalot
R
R 3.6.0 released · 2019-04-26
0.9
record
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
record
2016-12-31 · diff ↗ ·
added 2 exports
expweightcov, findrestrict
0.8.2
record
2016-09-20 · diff ↗ ·
removed 1 export
predprecision

added 1 export
predprecWB
0.8.1
record
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

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")

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 factorstochvol version 1.1.2 [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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