Description
Provides functions to estimate model parameters and forecast future volatilities using the Unified GARCH-Ito [Kim and Wang (2016) <doi:10.1016/j.jeconom.2016.05.003>] and Realized GARCH-Ito [Song et. al. (2020) <doi:10.1016/j.jeconom.2020.07.007>] models. Optimization is done using augmented Lagrange multiplier method.
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| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
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r-devel-linux-x86_64-debian-clang
CRAN incoming feasibility
Maintainer: ‘Xinyu Song <song.xinyu@mail.shufe.edu.cn>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Xinyu",
family = "Song",
role = c("aut", "cre"),
email = "song.xinyu@mail.shufe.edu.cn")
as necessary.
NOTE
r-devel-linux-x86_64-debian-gcc
CRAN incoming feasibility
Maintainer: ‘Xinyu Song <song.xinyu@mail.shufe.edu.cn>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Xinyu",
family = "Song",
role = c("aut", "cre"),
email = "song.xinyu@mail.shufe.edu.cn")
as necessary.
OK
r-devel-linux-x86_64-fedora-clang
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r-devel-linux-x86_64-fedora-gcc
*
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r-devel-macos-arm64
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r-devel-windows-x86_64
*
OK
r-oldrel-macos-arm64
*
OK
r-oldrel-macos-x86_64
*
OK
r-oldrel-windows-x86_64
*
OK
r-patched-linux-x86_64
*
OK
r-release-linux-x86_64
*
OK
r-release-macos-arm64
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OK
r-release-macos-x86_64
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OK
r-release-windows-x86_64
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Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
NOTE
r-devel-linux-x86_64-debian-clang
CRAN incoming feasibility
Maintainer: ‘Xinyu Song <song.xinyu@mail.shufe.edu.cn>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Xinyu",
family = "Song",
role = c("aut", "cre"),
email = "song.xinyu@mail.shufe.edu.cn")
as necessary.
NOTE
r-devel-linux-x86_64-debian-gcc
CRAN incoming feasibility
Maintainer: ‘Xinyu Song <song.xinyu@mail.shufe.edu.cn>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Xinyu",
family = "Song",
role = c("aut", "cre"),
email = "song.xinyu@mail.shufe.edu.cn")
as necessary.
Dependency Network
Version History
new
0.1.0
Mar 9, 2026