tsmarch
1.0.0Multivariate ARCH Models
0packages depend
7.7Kdownloads / year
34.0%test coverage
13/13checks pass
Overview
About
Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) doi:10.1016/bs.host.2019.01.001.
Install
Health
CRAN checks
13OK
Slowest check: 18.5 min · r-oldrel-windows-x86_64
Code health
Yes
Tests · ratio 0.23
34.0%
Coverage · measured lines
100%
Documentation · exports
22
Dependencies · direct
Check history
- OK2026-07-2913 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
- ERROR2026-07-2712 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
- OK2026-07-0513 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
- ERROR2026-07-0412 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
- OK2026-06-2013 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
Show 11 earlier snapshots
- ERROR2026-06-1812 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
- OK2026-06-0913 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
- ERROR2026-06-0712 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
- OK2026-05-1013 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
- ERROR2026-05-0812 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
- OK2026-05-0413 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
- ERROR2026-04-3011 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
- OK2026-04-2511 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
- NOTE2026-04-2411 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
- ERROR2026-04-1810 OK · 3 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
- NOTE2026-03-1011 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
Documentation
Documentation
READMENoVignettesYes · dynamicpkgdown siteNoNEWSNoCode of conductNoContributing guideNo
- Examples that run
- 100%
- Documented parameters
- 100%
- Return-value docs
- 89%
- References docs
- 3%
Downloads
7.7K
CRAN downloads in the past year
Rank #5,184 · ~21/day · ~642/mo
Daily download trend is not available in this view yet.
43030 days
1.7K90 days
7.7K1 year
Also on419 r2u
Repository
Repository
11Stars
1Forks
2Open issues
0Open PRs
0Releases
19Commits
1Contributors
econometricsfinancegarchmultivariate-timeseriestime-series
19 commits · Last activity 2026-03-14 · 0% stars, 30d
Stars over time
2025-05-30 · 82026-07-07 · 11
Forks over time
2026-03-23 · 12026-07-07 · 1
Issues over time
2025-07-25 · 12026-07-07 · 2
Repository practices
Upstream repositoryBeta
1 development-tooling and community-health practice detected across 1 family in the upstream repository
Checks run against github.com/tsmodels/tsmarch on 2026-07-30.
Continuous integration (1)
GitHub Actions
Dependencies
Declared dependencies
27 external dependencies (excludes base and recommended)
Depends (3)
R >= 3.5.0methodstsmethods
Imports (20)
LinkingTo (4)
Enhances (0)
none
Reverse dependencies
0direct
0indirect
Nothing depends on this yet.
Code & Tests
Datasets
People & History
People (1)
Maintainer (1)
Author, Maintainer, Copyright holder
Authors (1)
Author, Maintainer, Copyright holder
Copyright holders (1)
Author, Maintainer, Copyright holder
Package Timeline
1 release. R releases are shown for context.
- RR 4.6.0 released · 2026-04-24
- 1.0.0Latest2026-03-10 · current release
- RR 4.5.0 released · 2025-04-11
0 of 2 selectedCompare selected
Package metadata
- First published
- 2024-11-18
- Total releases
- 1 / 2 yrs
- License
- GPL-2 OSI
- Minimum R
- ≥ 3.5.0
- Bundled data
- 584 KB / 2 files
- Download size
- 2.3 MB
- Installed size
- not tracked yet
- With dependencies
- not tracked yet
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