R Observatory: Metrics for mfGARCH version 0.2.2

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

mfGARCH

0.2.2

Mixed-Frequency GARCH Models

0packages depend

6.1Kdownloads / year

45.2%test coverage

13/13checks pass

Overview

About

Maintained by Onno KleenFirst published 2018-02-1910 releasesCRAN page ↗GitHub ↗

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.

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.

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).

Health

CRAN checks

13OK

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

Code health

Yes

Tests · ratio 0.11

45.2%

Coverage · measured lines

100%

Documentation · exports

6

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: 50%
Documented parameters: 99%
Return-value docs: 20%
References docs: 0%

Downloads

6.1K

CRAN downloads in the past year

Rank #5,416 · ~17/day · ~505/mo

Releases R versions

Daily download trend is not available in this view yet.

26430 days

1.5K90 days

6.1K1 year

Compare downloads with other packages →

Also on394 r2u17 autocran

Repository

GitHub ↗ onnokleen/mfgarch

75Stars

28Forks

4Open issues

0Open PRs

8Releases

196Commits

1Contributors

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

Stars over time

2025-05-25 · 702026-07-14 · 75

Repository practices

Upstream repositoryBeta

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

Checks run against github.com/onnokleen/mfgarch on 2026-08-16.

Continuous integration (1)

Travis CI

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 v1 (2026-07-18)

Dependencies

Declared dependencies

10 external dependencies (excludes base and recommended)

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.

Code & Tests

Datasets

People & History

People (1)

Maintainer (1)

Onno Kleen

Author, Maintainer

Authors (1)

Onno Kleen

Author, Maintainer

Package Timeline

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

R
R 4.6.0 released · 2026-04-24
0.2.2Latest
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
2021-06-17 · diff ↗
R
R 4.1.0 released · 2021-05-18
0.2.0
2020-05-13 · diff ↗
R
R 4.0.0 released · 2020-04-24
0.1.9
2019-12-04 · diff ↗
0.1.8
2019-07-30 · diff ↗
R
R 3.6.0 released · 2019-04-26
0.1.7
2018-08-06 · diff ↗
0.1.5
2018-06-28 · diff ↗
0.1.4
2018-06-19 · diff ↗

Show 4 earlier events

0.1.3
2018-05-24 · diff ↗
R
R 3.5.0 released · 2018-04-23
0.1.2
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
Installed size: not tracked yet
With dependencies: not tracked yet

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("mfGARCH")

Format

Kleen, O. (2026). mfGARCH: Mixed-Frequency GARCH Models (Version 0.2.2) [Computer software]. https://doi.org/10.32614/CRAN.package.mfGARCH

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 mfGARCH version 0.2.2 [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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