tsmarch

Multivariate ARCH Models

v1.0.0 · Nov 18, 2024 · GPL-2

Description

Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.

Downloads

678

Last 30 days

5521st

Last 90 days

7.8K

Last year

Trend: -6.1% (30d vs prior 30d)

CRAN Check Status

7 NOTE

7 OK

Show all 14 flavors

Flavor	Status	Time
r-devel-linux-x86_64-debian-clang	NOTE	962.6s
r-devel-linux-x86_64-debian-gcc	NOTE	650.7s
r-devel-linux-x86_64-fedora-clang	OK	1356.1s
r-devel-linux-x86_64-fedora-gcc	OK	1677.3s
r-devel-macos-arm64	OK	200s
r-devel-windows-x86_64	NOTE	974s
r-oldrel-macos-arm64	NOTE
r-oldrel-macos-x86_64	NOTE	338s
r-oldrel-windows-x86_64	NOTE	1263s
r-patched-linux-x86_64	NOTE	914s
r-release-linux-x86_64	OK	893.3s
r-release-macos-arm64	OK
r-release-macos-x86_64	OK	683s
r-release-windows-x86_64	OK	942s

Check details (9 non-OK)

NOTE r-devel-linux-x86_64-debian-clang

compiled code

File ‘tsmarch/libs/tsmarch.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.

NOTE r-devel-linux-x86_64-debian-gcc

compiled code

File ‘tsmarch/libs/tsmarch.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.

NOTE r-devel-windows-x86_64

compiled code

File 'tsmarch/libs/x64/tsmarch.dll':
  Found non-API call to R: 'R_UnboundValue'

Compiled code should not call non-API entry points in R.

See 'Writing portable packages' in the 'Writing R Extensions' manual,
and section 'Moving into C API compliance' for issues with the use of
non-API entry points.

NOTE r-oldrel-macos-arm64

for GNU extensions in Makefiles

GNU make is a SystemRequirements.

NOTE r-oldrel-macos-arm64

installed package size

installed size is 15.3Mb
  sub-directories of 1Mb or more:
    doc    1.6Mb
    libs  12.2Mb

NOTE r-oldrel-macos-x86_64

for GNU extensions in Makefiles

GNU make is a SystemRequirements.

NOTE r-oldrel-macos-x86_64

installed package size

installed size is 15.0Mb
  sub-directories of 1Mb or more:
    doc    1.6Mb
    libs  12.0Mb

NOTE r-oldrel-windows-x86_64

for GNU extensions in Makefiles

GNU make is a SystemRequirements.

NOTE r-patched-linux-x86_64

compiled code

File ‘tsmarch/libs/tsmarch.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.

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 15.3Mb
  sub-directories of 1Mb or more:
    doc    1.6Mb
    libs  12.2Mb

NOTE r-oldrel-macos-x86_64

installed package size

installed size is 15.0Mb
  sub-directories of 1Mb or more:
    doc    1.6Mb
    libs  12.0Mb

NOTE r-oldrel-windows-x86_64

for GNU extensions in Makefiles

GNU make is a SystemRequirements.

Dependency Network

Version History

new 1.0.0 Mar 10, 2026