wARMASVp

0.2.0

Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models

0packages depend

1.3Kdownloads / year

86.7%test coverage

12/13checks pass

Overview

About

Maintained by Gabriel Rodriguez-RondonFirst published 2026-04-222 releasesCRAN page ↗GitHub ↗

Estimation, simulation, hypothesis testing, AR-order selection, and forecasting for univariate higher-order stochastic volatility SV(p) models. Supports Gaussian, Student-t, and Generalized Error Distribution (GED) innovations, with optional leverage effects. Estimation uses closed-form Winsorized ARMA-SV (W-ARMA-SV) moment-based methods that avoid numerical optimization. Hypothesis testing includes Local Monte Carlo (LMC) and Maximized Monte Carlo (MMC) procedures for leverage effects, heavy tails, and autoregressive order. AR-order selection is also available via information criteria (BIC/AIC) using the Kalman-filter quasi-likelihood and the Hannan-Rissanen ARMA residual variance. Forecasting is based on Kalman filtering and smoothing. See Ahsan and Dufour (2021) doi:10.1016/j.jeconom.2021.03.008, Ahsan, Dufour, and Rodriguez-Rondon (2025) doi:10.1111/jtsa.12851, and Ahsan, Dufour, and Rodriguez-Rondon (2026) doi:10.34989/swp-2026-8 for details.

Install

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

install.packages("wARMASVp", 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("roga11/wARMASVp")

Development version from roga11/wARMASVp. 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-warmasvp

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-wARMASVp

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-wARMASVp

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

Health

CRAN checks

1NOTE12OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 5.3 min · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 0.38

86.7%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-05-02
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-04-25
9 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-23
6 OK · 1 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE

Documentation

READMEYes · 222 wordsVignettesYes · dynamicpkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 0%
Documented parameters: 96%
Return-value docs: 100%
References docs: 9%

Downloads

1.3K

CRAN downloads in the past year

Rank #9,072 · ~4/day · ~112/mo

Releases R versions

Daily download trend is not available in this view yet.

18530 days

1.1K90 days

1.3K1 year

Compare downloads with other packages →

Also on133 r2u

Repository

GitHub ↗ roga11/warmasvp

0Stars

0Forks

0Open issues

0Open PRs

0Releases

Last activity 2026-07-29

Repository practices

Upstream repositoryBeta

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

Checks run against github.com/roga11/warmasvp on 2026-07-31.

Continuous integration (1)

GitHub Actions

CRAN release process (2)

cran-comments.mdCRAN-SUBMISSION

Lint, format, editor (1)

RStudio project

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

Dependencies

Declared dependencies

9 external dependencies (excludes base and recommended)

Depends (0)

none

Imports (3)

Rcpp gsignalstats

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (5)

pso GenSA testthat knitr rmarkdown

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (3)

Maintainer (1)

Gabriel Rodriguez-Rondon

Author, Maintainer · added in 0.2.0

Authors (3)

Gabriel Rodriguez-Rondon

Author, Maintainer · added in 0.2.0

Md. Nazmul Ahsan

Author · added in 0.2.0

Jean-Marie Dufour

Author

Listed in earlier versions (2)

Nazmul Ahsan

no longer listed · 0.1.0

Gabriel Rodriguez Rondon

no longer listed · 0.1.0

Package Timeline

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

0.2.0Latest
2026-05-15 · current release · diff ↗
R
R 4.6.0 released · 2026-04-24
0.1.0
2026-04-22
R
R 4.5.0 released · 2025-04-11

Package metadata

First published: 2026-04-22
Total releases: 2 / 1 yrs
License: GPL (>= 3) OSI
Download size: not tracked yet
Installed size: not tracked yet
With dependencies: not tracked yet

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