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rugarch

Univariate GARCH Models

v1.5-5 · Mar 14, 2026 · GPL-3
CRAN GitHub Mirror

Description

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

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CRAN Check Status

3 NOTE
11 OK
Show all 14 flavors
Flavor Status
r-devel-linux-x86_64-debian-clang OK
r-devel-linux-x86_64-debian-gcc OK
r-devel-linux-x86_64-fedora-clang OK
r-devel-linux-x86_64-fedora-gcc OK
r-devel-macos-arm64 OK
r-devel-windows-x86_64 OK
r-oldrel-macos-arm64 NOTE
r-oldrel-macos-x86_64 NOTE
r-oldrel-windows-x86_64 NOTE
r-patched-linux-x86_64 OK
r-release-linux-x86_64 OK
r-release-macos-arm64 OK
r-release-macos-x86_64 OK
r-release-windows-x86_64 OK
Check details (3 non-OK)
NOTE r-oldrel-macos-arm64

installed package size

installed size is  7.7Mb
  sub-directories of 1Mb or more:
    R      3.1Mb
    libs   2.4Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is  7.7Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   2.5Mb
NOTE r-oldrel-windows-x86_64

installed package size

installed size is  6.2Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   1.1Mb

Check History

NOTE 11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
NOTE r-oldrel-macos-arm64

installed package size

installed size is  7.7Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   2.5Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is  7.7Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   2.5Mb
NOTE r-oldrel-windows-x86_64

installed package size

installed size is  6.2Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   1.1Mb

Reverse Dependencies (27)

depends

rmgarch

imports

ARMALSTM ConnectednessApproach PWEV RMOPI SBAGM WaveletGARCH dccmidas fEGarch harbinger iClick portvine qrmtools quarks robustGarch tseriesTARMA ufRisk

suggests

AER RTL copula facmodCS facmodTS highfrequency nvmix tsDyn xdcclarge zenplots

Dependency Network

Dependencies Reverse dependencies Rsolnp ks numDeriv spd xts zoo chron SkewHyperbolic Rcpp fracdiff nloptr rmgarch ARMALSTM ConnectednessApproach PWEV RMOPI SBAGM WaveletGARCH dccmidas fEGarch harbinger iClick portvine qrmtools quarks robustGarch +12 more reverse deps rugarch

Version History

updated 1.5-5 ← 1.5-4 diff Mar 14, 2026
new 1.5-4 Mar 10, 2026
updated 1.5-4 ← 1.5-3 diff Jun 20, 2025
updated 1.5-3 ← 1.5-2 diff Sep 21, 2024
updated 1.5-2 ← 1.5-1 diff Aug 18, 2024
updated 1.5-1 ← 1.4-9 diff Sep 19, 2023
updated 1.4-9 ← 1.4-8 diff Oct 26, 2022
updated 1.4-8 ← 1.4-7 diff Apr 18, 2022
updated 1.4-7 ← 1.4-6 diff Feb 1, 2022
updated 1.4-6 ← 1.4-4 diff Jan 17, 2022
updated 1.4-4 ← 1.4-2 diff Jul 15, 2020
updated 1.4-2 ← 1.4-1 diff Feb 7, 2020
updated 1.4-1 ← 1.4-0 diff Jan 15, 2019
updated 1.4-0 ← 1.3-8 diff Feb 4, 2018
updated 1.3-8 ← 1.3-6 diff Oct 8, 2017
updated 1.3-6 ← 1.3-4 diff Aug 15, 2015
updated 1.3-4 ← 1.3-3 diff Nov 8, 2014
updated 1.3-3 ← 1.3-1 diff May 25, 2014
updated 1.3-1 ← 1.2-9 diff Jan 23, 2014
updated 1.2-9 ← 1.2-7 diff Dec 13, 2013