R Observatory: Metrics for tvGarchKF version 1.0.0

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

tvGarchKF

1.0.0

Time-Varying Garch Models Through a State-Space Representation

0packages depend

5.5Kdownloads / year

7.2%test coverage

13/13checks pass

Overview

About

Maintained by Tomás ArancibiaFirst published 2025-05-302 releasesCRAN 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.

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).

Health

CRAN checks

13OK

Slowest check: 6.6 min · r-devel-windows-x86_64

Code health

Yes

Tests · ratio 0.01

7.2%

Coverage · measured lines

100%

Documentation · exports

13

Dependencies · direct

Check history

OK2026-08-04
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 44%
Documented parameters: 91%
Return-value docs: 100%
References docs: 0%

Downloads

5.5K

CRAN downloads in the past year

Rank #9,900 · ~15/day · ~461/mo

Releases R versions

Daily download trend is not available in this view yet.

18230 days

95490 days

5.5K1 year

Compare downloads with other packages →

Also on377 r2u18 autocran

Dependencies

Declared dependencies

9 external dependencies (excludes base and recommended)

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.

Code & Tests

Datasets

People & History

People (2)

Maintainer (1)

Tomás Arancibia

Author, Maintainer

Authors (2)

Tomás Arancibia

Author, Maintainer

Guillermo Ferreira

Author

Package Timeline

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

1.0.0Latest
2026-08-22 · current release · diff ↗
R
R 4.6.0 released · 2026-04-24
0.0.1
2026-03-10
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
Installed size: not tracked yet
With dependencies: not tracked yet

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("tvGarchKF")

Format

Arancibia, T., & Ferreira, G. (2026). tvGarchKF: Time-Varying Garch Models Through a State-Space Representation (Version 1.0.0) [Computer software]. https://doi.org/10.32614/CRAN.package.tvGarchKF

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 tvGarchKF version 1.0.0 [Data set]. HJJB, LLC. Data release v2026-08-22. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-22, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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