garchmodels: The 'Tidymodels' Extension for GARCH Models

Garch framework for use with the 'tidymodels' ecosystem. It includes both univariate and multivariate methods from the 'rugarch' and 'rmgarch' packages. These models include DCC-Garch, Copula Garch and Go-GARCH among others.

Version: 0.1.1
Depends: R (≥ 3.5.0), parsnip, rugarch, rmgarch
Imports: rlang (≥ 0.1.2), magrittr, purrr, dplyr, stringr, tibble, tidyr, dials
Suggests: tidymodels, tidyverse, modeltime, timetk, lubridate, knitr, rmarkdown, roxygen2, testthat (≥ 3.0.0), covr
Published: 2021-04-12
Author: Alberto Almuiña [aut, cre]
Maintainer: Alberto Almuiña <albertogonzalezalmuinha at>
License: MIT + file LICENSE
NeedsCompilation: no
Materials: README NEWS
CRAN checks: garchmodels results


Reference manual: garchmodels.pdf
Vignettes: Getting Started with garchmodels
Tuning Univariate Garch Models
Package source: garchmodels_0.1.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: garchmodels_0.1.1.tgz, r-oldrel: garchmodels_0.1.1.tgz
Old sources: garchmodels archive


Please use the canonical form to link to this page.