R Observatory: Metrics for tvGarchKF version 1.0.0

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

tvGarchKF

1.0.0Package record

Time-Varying Garch Models Through a State-Space Representation

0packages depend

5.2Kdownloads / year

7.2%test coverage

13/13flavors OK

Overview

About

Maintained by Tomás ArancibiaCRAN page ↗

Estimates the time-varying (tv) parameters of the GARCH(1,1) model, enabling the modeling of non-stationary volatilities by allowing the model parameters to change gradually over time. The estimation and prediction processes are facilitated through the application of the Kalman filter and state-space equations. This package supports the estimation of tv parameters for various deterministic functions, which can be identified through exploratory analysis of different time periods or segments of return data. The methodology is grounded in the framework presented by Ferreira et al. (2017) doi:10.1080/00949655.2017.1334778.

Install

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

install.packages("tvGarchKF", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

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-tvgarchkf

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-tvGarchKF

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-tvGarchKF

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: 4.2 min · r-devel-windows-x86_64

Status changes

OK13 OK2026-08-04
NOTE12 OK, 1 NOTE2026-08-01
OK14 OK2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 1.0.0

READMENoVignettesNoNEWSNoCitation fileYes · software entry onlyWebsitenot declared in DESCRIPTION

Help pages: 19
Examples that run: 44%4 run in a plain check · 5 only when donttest examples are enabled (R CMD check --as-cran)
Exported functions with examples: 88%
Documented parameters: 91%
Return-value docs: 100%
Help pages citing references: 0%

How these are measured

Downloads

5.2K

CRAN downloads in the past year

Rank #15,347 · ~14/day · ~434/mo

Releases R versions

Daily download trend is not available in this view yet.

26030 days

77490 days

5.2K1 year

Compare downloads with other packages →

Also on360 r2u6 autocran

How downloads are counted

Dependencies

Declared dependencies

9 external dependencies (excludes base and recommended)

Installing tvGarchKF adds 17 packages (8 with compiled code, 8.1 MB of source tarballs). Heaviest: Rcpp 1.8 MB, timeSeries 1.4 MB, rbibutils 1.1 MB.

Depends (1)

R >= 3.5.0

Imports (13)

statsfGarchgraphicsnumDeriv timeSeriesmethodszooutilslocfit npreg withrmgcvsplines

LinkingTo (1)

Rcpp

Suggests (1)

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 (2)

Tomás Arancibia

Author, Maintainer since 0.0.1 (2025)

Guillermo Ferreira

Author

Releases (2)

Pick two releases to compare their code metrics.

1.0.0Latest
record
2026-08-22 · current release · diff ↗ ·
added 3 exports
auto.tvGarchKF, tvGarchNonParamFit, tvGarchNonParamKF
R
R 4.6.0 released · 2026-04-24
0.0.1
record
2025-05-30
R
R 4.5.0 released · 2025-04-11

Package metadata

First published: 2025-05-30
Total releases: 2 / 1 yrs
License: GPL (>= 3) OSI
Minimum R: ≥ 3.5.0
Bundled data: 10 KB / 1 file
Download size: 62 KB

Cite

Cite this package

Run in R for the authors' entry:

citation("tvGarchKF")

The package provides a citation file, so citation() returns the authors' own entry.

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 tvGarchKF version 1.0.0 [Data set]. HJJB, LLC. Data release v2026-10-17. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-17, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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