rmgarch

1.4-2

Multivariate GARCH Models

2packages depend

273.6Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Alexios GalanosFirst published 2013-04-1013 releasesCRAN page ↗GitHub ↗

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

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)

install.packages("rmgarch", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("alexiosg/rmgarch")

Development version from alexiosg/rmgarch. Installs pak first if it is not already available.

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-rmgarch

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-rmgarch

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

Health

CRAN checks

13OK

Slowest check: 9.4 min · r-devel-linux-x86_64-fedora-clang

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-06-09
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-06-08
12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-04-22
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE

Show 1 earlier snapshots

NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesYes · dynamicpkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 14%
Documented parameters: 86%
Return-value docs: 92%
References docs: 43%

Downloads

273.6K

CRAN downloads in the past year

Rank #1,822 · ~749/day · ~22.8K/mo

Releases R versions

Daily download trend is not available in this view yet.

2.9K30 days

13.4K90 days

273.6K1 year

Compare downloads with other packages →

Also on507 r2u90 c2d4u

Repository

GitHub ↗ alexiosg/rmgarch

18Stars

7Forks

0Open issues

0Open PRs

0Releases

55Commits

1Contributors

55 commits · Last activity 2025-08-31

Repository practices

Upstream repositoryBeta

1 development-tooling and community-health practice detected across 1 family in the upstream repository

Checks run against github.com/alexiosg/rmgarch on 2026-07-30.

Continuous integration (1)

GitHub Actions

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

13 external dependencies (excludes base and recommended)

Depends (4)

R >= 3.0.2methodsrugarchparallel

Imports (16)

RsolnpMASSMatrixzoo xts Bessel ff shape pcaPP spd RcpputilsgraphicsstatsgrDevicescorpcor

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

2direct

0indirect

ConnectednessApproach VIRF

Code & Tests

Datasets

People & History

People (1)

Maintainer (1)

Alexios Galanos

Author, Maintainer, Copyright holder · added in 1.3-9

Authors (1)

Alexios Galanos

Author, Maintainer, Copyright holder · added in 1.3-9

Alexios Galanos

Author, Maintainer, Copyright holder · added in 1.3-9

Listed in earlier versions (1)

Alexios Ghalanos

no longer listed · 1.2-0 to 1.3-7

Package Timeline

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

R
R 4.6.0 released · 2026-04-24
1.4-2Latest
2025-08-31 · current release · diff ↗
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
1.3-9
2022-02-05 · diff ↗
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
1.3-7
2019-09-13 · diff ↗
R
R 3.6.0 released · 2019-04-26
1.3-6
2019-01-15 · diff ↗
1.3-5
2018-10-09 · diff ↗
R
R 3.5.0 released · 2018-04-23
R
R 3.4.0 released · 2017-04-21
R
R 3.3.0 released · 2016-05-03

Show 11 earlier events

1.3-0
2015-12-28 · diff ↗
1.2-9
2015-07-03 · diff ↗
R
R 3.2.0 released · 2015-04-16
1.2-8
2014-06-30 · diff ↗
R
R 3.1.0 released · 2014-04-10
3.0.3
2014-01-26 · diff ↗
1.2-6
2014-01-25 · diff ↗
1.2-5
2014-01-24 · diff ↗
3.0.1
2013-04-10 · diff ↗
1.2-0
2013-04-10
R
R 3.0.0 released · 2013-04-03

Package metadata

First published: 2013-04-10
Total releases: 13 / 13 yrs
License: GPL-3 OSI
Minimum R: ≥ 3.0.2
Bundled data: 201 KB / 1 file
Download size: 706 KB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Empirical Finance

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