R Observatory: Metrics for ufRisk version 1.0.7

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

ufRisk

1.0.7Package record

Risk Measure Calculation in Financial TS

1packages depend

3Kdownloads / year

–test coverage

13/13flavors OK

Overview

About

Maintained by Sebastian LetmatheCRAN page ↗Website ↗

Enables the user to calculate Value at Risk (VaR) and Expected Shortfall (ES) by means of various parametric and semiparametric GARCH-type models. For the latter the estimation of the nonparametric scale function is carried out by means of a data-driven smoothing approach. Model quality, in terms of forecasting VaR and ES, can be assessed by means of various backtesting methods such as the traffic light test for VaR and a newly developed traffic light test for ES. The approaches implemented in this package are described in e.g. Feng Y., Beran J., Letmathe S. and Ghosh S. (2020) https://ideas.repec.org/p/pdn/ciepap/137.html as well as Letmathe S., Feng Y. and Uhde A. (2021) https://ideas.repec.org/p/pdn/ciepap/141.html.

Install

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

install.packages("ufRisk", 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-ufrisk

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-ufRisk

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-ufRisk

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: 1.3 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 1.0.7

READMEYes · 398 wordsVignettesNoNEWSYes · 100% structured · does not mention 1.0.7Citation fileNoWebsiteYes

Help pages: 9includes a package overview page
Examples that run: 50%2 run in a plain check · 2 only when donttest examples are enabled (R CMD check --as-cran)
Exported functions with examples: 100%
Documented parameters: 73%
Return-value docs: 100%
Help pages citing references: 56%

How these are measured

Downloads

3K

CRAN downloads in the past year

Rank #11,020 · ~8/day · ~253/mo

Releases R versions

Daily download trend is not available in this view yet.

33230 days

96490 days

3K1 year

Compare downloads with other packages →

Also on91 r2u4 autocran72 c2d4u

How downloads are counted

Dependencies

Declared dependencies

4 external dependencies (excludes base and recommended)

Installing ufRisk adds 57 packages (31 with compiled code, 33 MB of source tarballs). Heaviest: ggplot2 6.0 MB, mclust 2.7 MB, rugarch 2.6 MB.

Depends (1)

R >= 2.10

Imports (6)

esemifar fracdiff rugarch smootsstatsutils

LinkingTo (0)

none

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

1direct

0indirect

Imports 1

Depends, Imports or LinkingTo, most downloaded first

QuantileModels

How these are counted

Code & Tests

Datasets

People & History

People (6)

Sebastian Letmathe

Author, Maintainer since 1.0.0 (2022)

Paderborn University, Germany

Yuanhua Feng

Author

Paderborn University, Germany

Shujie Li

Author

Paderborn Universtiy, Germany

Christian Peitz

Author

Paderborn University, Germany

Dominik Schulz

Author

Paderborn University, Germany

Xuehai Zhang

Author

Former research associate at Paderborn University, Germany

Releases (8)

Pick two releases to compare their code metrics.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
1.0.7Latest
record
2023-10-22 · current release · diff ↗
R
R 4.3.0 released · 2023-04-21
1.0.6
record
2022-06-19 · diff ↗
1.0.5
record
2022-06-12 · diff ↗
R
R 4.2.0 released · 2022-04-22
1.0.4
record
2022-03-29 · diff ↗
1.0.3
record
2022-03-06 · diff ↗
1.0.2
record
2022-02-22 · diff ↗
1.0.1
record
2022-01-13 · diff ↗
1.0.0
record
2022-01-11
R
R 4.1.0 released · 2021-05-18

Package metadata

First published: 2022-01-11
Total releases: 8 / 4 yrs
License: GPL-3 OSI
Minimum R: ≥ 2.10
Bundled data: 286 KB / 2 files
Download size: 359 KB

Appears in task views

Empirical Finance

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("ufRisk")

Format

Letmathe, S., Feng, Y., Li, S., Peitz, C., Schulz, D., & Zhang, X. (2023). ufRisk: Risk Measure Calculation in Financial TS (Version 1.0.7) [Computer software]. https://doi.org/10.32614/CRAN.package.ufRisk

This package has no citation file, so citation() returns this entry built from DESCRIPTION.

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 ufRisk version 1.0.7 [Data set]. HJJB, LLC. Data release v2026-10-25. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-25, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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