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rugarch

Univariate GARCH Models

v1.5-4 · Jun 20, 2025 · GPL-3
CRAN GitHub Mirror

Description

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

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CRAN Check Status

3 NOTE
11 OK
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Flavor Status
r-devel-linux-x86_64-debian-clang OK
r-devel-linux-x86_64-debian-gcc OK
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 NOTE
r-oldrel-macos-x86_64 NOTE
r-oldrel-windows-x86_64 NOTE
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)
OK r-devel-linux-x86_64-debian-clang

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                r-devel-linux-x86_64-fedora-clang
              

              
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                r-devel-linux-x86_64-fedora-gcc
              

              
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                r-oldrel-macos-arm64
              

              
installed package size

              
  installed size is  7.7Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   2.5Mb

            

            

              

                NOTE
                r-oldrel-macos-x86_64
              

              
installed package size

              
  installed size is  7.7Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   2.5Mb

            

            

              

                NOTE
                r-oldrel-windows-x86_64
              

              
installed package size

              
  installed size is  6.2Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   1.1Mb

            

            

              

                OK
                r-patched-linux-x86_64
              

              
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                r-release-linux-x86_64
              

              
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                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
              
                11 OK ·                 3 NOTE ·                 0 WARNING ·                 0 ERROR ·                 0 FAILURE              
              Mar 9, 2026
            
            

              

                

                  NOTE
                  r-oldrel-macos-arm64
                

                
installed package size

                
  installed size is  7.7Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   2.5Mb

              

              

                

                  NOTE
                  r-oldrel-macos-x86_64
                

                
installed package size

                
  installed size is  7.7Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   2.5Mb

              

              

                

                  NOTE
                  r-oldrel-windows-x86_64
                

                
installed package size

                
  installed size is  6.2Mb
  sub-directories of 1Mb or more:
    R      3.0Mb
    libs   1.1Mb

              

            

          

        

      


      
      

        
Reverse Dependencies (27)

        

          
depends

          

            rmgarch
          

        

        

          
imports

          

            ARMALSTM
            ConnectednessApproach
            PWEV
            RMOPI
            SBAGM
            WaveletGARCH
            dccmidas
            fEGarch
            harbinger
            iClick
            portvine
            qrmtools
            quarks
            robustGarch
            tseriesTARMA
            ufRisk
          

        

        

          
suggests

          

            AER
            RTL
            copula
            facmodCS
            facmodTS
            highfrequency
            nvmix
            tsDyn
            xdcclarge
            zenplots
          

        

      


      
      

        
Dependency Network

        

          
            

            
            
            Dependencies
            
            Reverse dependencies

            
            
            
            
            
            
            
            
            
            
            
            

            
            
            
            
            
            
            
            
            
            
            
            
            
            
            
            

            
            
              
              Rsolnp
            
            
              
              ks
            
            
              
              numDeriv
            
            
              
              spd
            
            
              
              xts
            
            
              
              zoo
            
            
              
              chron
            
            
              
              SkewHyperbolic
            
            
              
              Rcpp
            
            
              
              fracdiff
            
            
              
              nloptr
            

            
            
              
              rmgarch
            
            
              
              ARMALSTM
            
            
              
              ConnectednessApproach
            
            
              
              PWEV
            
            
              
              RMOPI
            
            
              
              SBAGM
            
            
              
              WaveletGARCH
            
            
              
              dccmidas
            
            
              
              fEGarch
            
            
              
              harbinger
            
            
              
              iClick
            
            
              
              portvine
            
            
              
              qrmtools
            
            
              
              quarks
            
            
              
              robustGarch
            
            +12 more reverse deps

            
            
            rugarch
          
        

      


      
      

        
Version History

        

          

            new
            1.5-4
            Mar 9, 2026