tvgarch

2.4.3

Time Varying GARCH Modelling

1packages depend

3.6Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Susana Campos-MartinsFirst published 2021-02-059 releasesCRAN page ↗

Simulation, estimation and inference for univariate and multivariate TV(s)-GARCH(p,q,r)-X models, where s indicates the number and shape of the transition functions, p is the ARCH order, q is the GARCH order, r is the asymmetry order, and 'X' indicates that covariates can be included; see Campos-Martins and Sucarrat (2024) doi:10.18637/jss.v108.i09. In the multivariate case, variances are estimated equation by equation and dynamic conditional correlations are allowed. The TV long-term component of the variance as in the multiplicative TV-GARCH model of Amado and Terasvirta (2013) doi:10.1016/j.jeconom.2013.03.006 introduces non-stationarity whereas the GARCH-X short-term component describes conditional heteroscedasticity. Maximisation by parts leads to consistent and asymptotically normal estimates.

Install

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

install.packages("tvgarch", 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-tvgarch

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-tvgarch

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-tvgarch

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 2.1 min · r-oldrel-windows-x86_64

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 100%
Return-value docs: 100%
References docs: 75%

Downloads

3.6K

CRAN downloads in the past year

Rank #16,265 · ~10/day · ~302/mo

Releases R versions

Daily download trend is not available in this view yet.

20130 days

70390 days

3.6K1 year

Compare downloads with other packages →

Also on108 r2u35 autocran

Dependencies

Declared dependencies

3 external dependencies (excludes base and recommended)

Depends (4)

R >= 3.5.0garchx zoo numDeriv

Imports (0)

none

LinkingTo (0)

none

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

1direct

0indirect

garchx

Code & Tests

Code Composition

R 3,378 (74%)Rd 1,168 (26%)

Code characteristics

Object systems

S336

Cyclomatic complexity: 7.0 median / 131 max

Test coverage

Line coverage

–

Expression

–

Tests / Examples

–

Functions

49 11 exported

Complexity

14.7 avg / 131 max

Call network

49 nodes / 51 edges

Call graph

Open call graph →

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Lowest coverage

Per-function coverage is not measured for this package yet.

People & History

People (2)

Maintainer (1)

Susana Campos-Martins

Author, Maintainer

Authors (1)

Susana Campos-Martins

Author, Maintainer

Contributors (1)

Genaro Sucarrat

Contributor

Package Timeline

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

R
R 4.6.0 released · 2026-04-24
2.4.3Latest
2025-09-01 · current release · diff ↗
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
2.4.2
2024-04-05 · diff ↗
2.4.1
2023-10-01 · diff ↗
R
R 4.3.0 released · 2023-04-21
2.4
2023-03-08 · diff ↗
2.3
2023-01-28 · diff ↗
R
R 4.2.0 released · 2022-04-22
2.2
2021-12-21 · diff ↗
2.1
2021-09-02 · diff ↗
R
R 4.1.0 released · 2021-05-18
2.0
2021-04-16 · diff ↗
1.0
2021-02-05
R
R 4.0.0 released · 2020-04-24

Package metadata

First published: 2021-02-05
Total releases: 9 / 5 yrs
License: GPL (>= 2) OSI
Minimum R: ≥ 3.5.0
Download size: 36 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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