rmgarch: Multivariate GARCH Models

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

Version: 1.2-9
Depends: R (≥ 3.0.2), methods, rugarch, parallel
Imports: Rsolnp, MASS, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp, utils, graphics, stats, grDevices
LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34)
Published: 2015-07-03
Author: Alexios Ghalanos
Maintainer: Alexios Ghalanos <alexios at 4dscape.com>
License: GPL-3
Copyright: see file COPYRIGHTS
URL: http://www.unstarched.net, https://bitbucket.org/alexiosg
NeedsCompilation: yes
Citation: rmgarch citation info
Materials: README ChangeLog
In views: Finance
CRAN checks: rmgarch results

Downloads:

Reference manual: rmgarch.pdf
Vignettes: The rmgarch models: Background and properties
Package source: rmgarch_1.2-9.tar.gz
Windows binaries: r-devel: rmgarch_1.2-9.zip, r-release: rmgarch_1.2-9.zip, r-oldrel: rmgarch_1.2-9.zip
OS X Snow Leopard binaries: r-release: rmgarch_1.2-9.tgz, r-oldrel: rmgarch_1.2-8.tgz
OS X Mavericks binaries: r-release: rmgarch_1.2-9.tgz
Old sources: rmgarch archive