tsgarch

1.0.4

Univariate GARCH Models

2packages depend

5.3Kdownloads / year

46.0%test coverage

13/13checks pass

Overview

About

Maintained by Alexios GalanosFirst published 2024-04-244 releasesCRAN page ↗GitHub ↗

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

Install

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

install.packages("tsgarch", 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("tsmodels/tsgarch")

Development version from tsmodels/tsgarch. 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-tsgarch

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-tsgarch

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

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

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-tsgarch

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 16.9 min · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 0.14

46.0%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-07-22
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-05-02
0 OK · 12 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-04-22
0 OK · 14 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
0 OK · 13 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
0 OK · 14 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesYes · dynamicpkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 100%
Return-value docs: 90%
References docs: 7%

Downloads

5.3K

CRAN downloads in the past year

Rank #6,104 · ~15/day · ~445/mo

Releases R versions

Daily download trend is not available in this view yet.

47630 days

1.6K90 days

5.3K1 year

Compare downloads with other packages →

Also on435 r2u33 autocran

Repository

GitHub ↗ tsmodels/tsgarch

19Stars

1Forks

1Open issues

0Open PRs

0Releases

58Commits

1Contributors

garchr

58 commits · Last activity 2026-05-23 · 0% stars, 30d

Stars over time

2025-04-02 · 142026-07-07 · 19

Repository practices

Upstream repositoryBeta

3 development-tooling and community-health practices detected across 3 families in the upstream repository

Checks run against github.com/tsmodels/tsgarch on 2026-07-19.

Continuous integration (1)

GitHub Actions

CRAN release process (1)

revdep/

Lint, format, editor (1)

RStudio project

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

Dependencies

Declared dependencies

22 external dependencies (excludes base and recommended)

Depends (3)

R >= 4.1.0methodstsmethods

Imports (17)

TMB Rcpp nloptr Rdpack numDeriv xts zoo future.apply future progressr flextablestatsutilsdata.table tsdistributions lubridate sandwich

LinkingTo (3)

Rcpp TMB RcppEigen

Suggests (3)

knitr rmarkdown testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

2direct

0indirect

tsmarch tstests

Code & Tests

Datasets

People & History

People (1)

Maintainer (1)

Alexios Galanos

Author, Maintainer, Copyright holder

Authors (1)

Alexios Galanos

Author, Maintainer, Copyright holder

Alexios Galanos

Author, Maintainer, Copyright holder

Package Timeline

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

1.0.4Latest
2026-05-23 · current release · diff ↗
R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
1.0.3
2024-10-12 · diff ↗
1.0.2
2024-05-08 · diff ↗
1.0.0
2024-04-24
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21

Package metadata

First published: 2024-04-24
Total releases: 4 / 2 yrs
License: GPL-2 OSI
Minimum R: ≥ 4.1.0
Bundled data: 45 KB / 2 files
Download size: 489 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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