R Observatory: Metrics for portvine version 1.0.3

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

portvine

1.0.3Package record

Vine Based (Un)Conditional Portfolio Risk Measure Estimation

0packages depend

2.9Kdownloads / year

99.9%test coverage

13/13flavors OK

Overview

About

Maintained by Emanuel SommerCRAN page ↗GitHub ↗Website ↗Issues ↗

Following Sommer (2022) https://mediatum.ub.tum.de/1658240 portfolio level risk estimates (e.g. Value at Risk, Expected Shortfall) are estimated by modeling each asset univariately by an ARMA-GARCH model and then their cross dependence via a Vine Copula model in a rolling window fashion. One can even condition on variables/time series at certain quantile levels to stress test the risk measure estimates.

Changes in 1.0.3

Clarify what is meant as equally weighted portfolio in the documenation of the function estimate_risk_roll
**Dependency management:** Due to the changes in the BH packages I dropped the system requirement C++11 as suggested by the CRAN maintainers.

From NEWS.md in the release

Install

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

install.packages("portvine", 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("EmanuelSommer/portvine")

Development version from EmanuelSommer/portvine. 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-portvine

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-portvine

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-portvine

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: 12.6 min · r-oldrel-windows-x86_64

Status changes

OK13 OK2026-08-05
NOTE12 OK, 1 NOTE2026-08-01
OK13 OK2026-06-09
ERROR12 OK, 1 ERROR2026-06-08
OK12 OK2026-04-25

Show 3 earlier changesHide 3 earlier changes

NOTE11 OK, 3 NOTE2026-04-22
ERROR10 OK, 3 NOTE, 1 ERROR2026-04-18
NOTE11 OK, 3 NOTE2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 1.0.3

READMEYes · 453 wordsVignettesYes · 1 · dynamicNEWSYes · 100% structured · mentions 1.0.3Citation fileNoWebsiteYes · pkgdown

The repository also keeps web-only articles.

Help pages: 12
Examples that run: 86%6 run in a plain check · 1 only when donttest examples are enabled (R CMD check --as-cran)
Exported functions with examples: 60%
Documented parameters: 100%
Return-value docs: 100%
Help pages citing references: 0%

Vignettes (1)

Get started HTML

How these are measured

Downloads

2.9K

CRAN downloads in the past year

Rank #15,288 · ~8/day · ~243/mo

Releases R versions

Daily download trend is not available in this view yet.

31130 days

78490 days

2.9K1 year

Compare downloads with other packages →

Also on365 r2u9 autocran

How downloads are counted

Repository

emanuelsommer/portvine ↗Account: EmanuelSommer

24Stars

5Forks

0Open issues

0Open PRs

3Releases

110Commits

2Commit identities

vine-copulasrpackageexpected-shortfallvalue-at-riskgarch-models

110 commits · Last activity 2024-01-22 · 0% stars, 30d · Default branch at 1.0.3.9000, ahead of CRAN 1.0.3 (checked 2026-10-11)

Responsiveness

How these are sampled

PRs merged (all time): 25%
Median days to close, 50 most recently updated closed issues: 0
Median days to close, 50 most recently updated closed PRs: 0

Stars over time

2025-08-09 · 232026-07-07 · 24

How these are measured

PracticesBeta

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

Checks run against github.com/emanuelsommer/portvine on 2026-10-11.

Continuous integration (2)

GitHub ActionsR CMD check workflow

The R CMD check workflow runs on Linux, macOS and Windows, and on R-devel

Docs source (4)

README.Rmdpkgdown

GitHub Pages site last deployed 2024-01-22 · The repository has a site deploy workflow

pkgdown site last built 2024-01-22

Coverage (1)

Coverage reporting (Codecov)

CRAN release process (1)

cran-comments.md

Show all practicesHide 1 practice

Lint, format, editor (1)

RStudio project

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

Dependencies

Declared dependencies

27 external dependencies (excludes base and recommended)

Installing portvine adds 62 packages (41 with compiled code, 60 MB of source tarballs). Heaviest: BH 14 MB, stringi 11 MB, data.table 5.7 MB.

Depends (1)

R >= 2.10

Imports (12)

checkmate data.table dplyr dtplyr future.applymethodsppcor Rcpp rlang rugarch rvinecopulib tidyr

LinkingTo (7)

BH kde1d Rcpp RcppEigen RcppThread rvinecopulib wdm

Suggests (9)

covr future ggplot2 ggtext knitr patchwork rmarkdown scales testthat

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)

Emanuel Sommer

Maintainer since 1.0.1 (2022), Author

Releases (3)

Pick two releases to compare their code metrics.

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
1.0.3Latest
record
2024-01-18 · current release · diff ↗
R
R 4.3.0 released · 2023-04-21
1.0.2
record
2023-01-06 · diff ↗
1.0.1
record
2022-05-31
R
R 4.2.0 released · 2022-04-22

Package metadata

First published: 2022-05-31
Total releases: 3 / 4 yrs
License: MIT + file LICENSE OSI
Minimum R: ≥ 2.10
Bundled data: 23 KB / 1 file
Download size: 535 KB

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("portvine")

Format

Sommer, E. (2024). portvine: Vine Based (Un)Conditional Portfolio Risk Measure Estimation (Version 1.0.3) [Computer software]. https://doi.org/10.32614/CRAN.package.portvine

This package has no citation file, so citation() returns this entry built from DESCRIPTION.

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 portvine version 1.0.3 [Data set]. HJJB, LLC. Data release v2026-10-18. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-18, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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