R Observatory: Metrics for mfGARCH version 0.2.2

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

mfGARCH

0.2.2Package record

Mixed-Frequency GARCH Models

0packages depend

6.3Kdownloads / year

45.2%test coverage

13/13flavors OK

Overview

About

Maintained by Onno KleenCRAN page ↗GitHub ↗Issues ↗

Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, doi:10.1162/REST_a_00300) and related statistical inference, accompanying the paper "Two are better than one: Volatility forecasting using multiplicative component GARCH models" by Conrad and Kleen (2020, doi:10.1002/jae.2742). The GARCH-MIDAS model decomposes the conditional variance of (daily) stock returns into a short- and long-term component, where the latter may depend on an exogenous covariate sampled at a lower frequency.

Changes in 0.2.2

Minor adjustments to pass new CRAN checks

From NEWS.md in the release

Install

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

install.packages("mfGARCH", 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("onnokleen/mfGARCH")

Development version from onnokleen/mfGARCH. 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-mfgarch

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-mfGARCH

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-mfGARCH

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: 5.3 min · r-oldrel-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 0.2.2

README· In the repository, left out of the releaseVignettesNoNEWSYes · 100% structured · mentions 0.2.2Citation fileYes · cites a publicationWebsitenot declared in DESCRIPTION

Help pages: 7
Examples that run: 50%2 run in a plain check · 2 never run
Exported functions with examples: 80%
Documented parameters: 99%
Return-value docs: 20%
Help pages citing references: 0%

How these are measured

Downloads

6.3K

CRAN downloads in the past year

Rank #6,440 · ~17/day · ~529/mo

Releases R versions

Daily download trend is not available in this view yet.

51630 days

1.3K90 days

6.3K1 year

Compare downloads with other packages →

Also on358 r2u4 autocran

How downloads are counted

Repository

onnokleen/mfgarch ↗Account: onnokleen

75Stars

29Forks

4Open issues

0Open PRs

8Releases

196Commits

1Commit identities

196 commits · Last activity 2026-01-13 · 0% stars, 30d

Responsiveness

How these are sampled

PRs merged (all time): not measured
Median days to close, 50 most recently updated closed issues: 37
Median days to close, 50 most recently updated closed PRs: not measured

Stars over time

2025-05-25 · 702026-07-14 · 75

How these are measured

PracticesBeta

5 development-tooling and community-health practices detected across 4 families in the upstream repository

Checks run against github.com/onnokleen/mfgarch on 2026-10-18.

Continuous integration (1)

Travis CI (config file)

Reproducibility and dev environment (1)

data-raw/

CRAN release process (2)

cran-comments.mdCRAN-SUBMISSION

Lint, format, editor (1)

RStudio project

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

Dependencies

Declared dependencies

10 external dependencies (excludes base and recommended)

Installing mfGARCH adds 8 packages (3 with compiled code, 5.0 MB of source tarballs). Heaviest: Rcpp 1.8 MB, sandwich 1.4 MB, maxLik 791 KB.

Depends (1)

R >= 3.3.0

Imports (6)

RcppgraphicsstatsnumDeriv zoo maxLik

LinkingTo (1)

Rcpp

Suggests (5)

testthat dplyr ggplot2 covr 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)

Onno Kleen

Author, Maintainer since 0.1.2 (2018)

Releases (10)

Pick two releases to compare their code metrics.

R
R 4.6.0 released · 2026-04-24
0.2.2Latest
record
2026-01-13 · current release · diff ↗
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
0.2.1
record
2021-06-17 · diff ↗
R
R 4.1.0 released · 2021-05-18
0.2.0
record
2020-05-13 · diff ↗
R
R 4.0.0 released · 2020-04-24
0.1.9
record
2019-12-04 · diff ↗
0.1.8
record
2019-07-30 · diff ↗ ·
added 1 export
simulate_mfgarch_rv_dependent
R
R 3.6.0 released · 2019-04-26
0.1.7
record
2018-08-06 · diff ↗
0.1.5
record
2018-06-28 · diff ↗
0.1.4
record
2018-06-19 · diff ↗

Show 4 earlier eventsHide 4 earlier events

0.1.3
record
2018-05-24 · diff ↗
R
R 3.5.0 released · 2018-04-23
0.1.2
record
2018-02-19
R
R 3.4.0 released · 2017-04-21

Package metadata

First published: 2018-02-19
Total releases: 10 / 8 yrs
License: MIT + file LICENSE OSI
Minimum R: ≥ 3.3.0
Bundled data: 432 KB / 2 files
Download size: 443 KB

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("mfGARCH")

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 mfGARCH version 0.2.2 [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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