This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: https://github.com/alexiosg/rugarch
☆29Jun 21, 2025Updated 8 months ago
Alternatives and similar repositories for rugarch
Users that are interested in rugarch are comparing it to the libraries listed below
Sorting:
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- This is a read-only mirror of the CRAN R package repository. rmgarch — Multivariate GARCH Models. Homepage: https://github.com/alexiosg…☆15Aug 31, 2025Updated 6 months ago
- ☆11Jun 9, 2021Updated 4 years ago
- Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models (Master Dissertation)☆14Sep 17, 2017Updated 8 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Apr 6, 2019Updated 6 years ago
- REndo - A R package to control for endogeneity by using internal instrumental variable models☆19Jul 23, 2024Updated last year
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Feb 18, 2021Updated 5 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Sep 11, 2020Updated 5 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Jan 22, 2024Updated 2 years ago
- Set of templates and themes to apply CMAP graphics standards to R products.☆15Nov 26, 2025Updated 3 months ago
- KFAS: R Package for Exponential Family State Space Models☆72May 25, 2025Updated 9 months ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 9 years ago
- This is a read-only mirror of the CRAN R package repository. mgcv — Mixed GAM Computation Vehicle with Automatic Smoothness Estimation …☆34Nov 7, 2025Updated 3 months ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- A package for Bilateral and Multilateral Price Index Calculations☆11Feb 18, 2026Updated last week
- R Package for Bootstrap Unit Root Tests☆10May 5, 2025Updated 9 months ago
- ☆10Nov 18, 2024Updated last year
- GAS models☆36Jun 11, 2021Updated 4 years ago
- Slides for the RSS International Conference 2023 workshop on data visualisation.☆10Aug 11, 2024Updated last year
- Codes for for Bayesian Local Projections & Bayesian Direct Forecasts☆15Jun 19, 2023Updated 2 years ago
- This is a read-only mirror of the CRAN R package repository. copula — Multivariate Dependence with Copulas. Homepage: https://copula.r-…☆11Feb 20, 2026Updated last week
- ☆10Apr 5, 2022Updated 3 years ago
- Template repository for creating a UU styled Quarto presentation☆13Oct 29, 2025Updated 4 months ago
- The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of d…☆10Sep 14, 2018Updated 7 years ago
- New version of mpMap☆12Jul 19, 2020Updated 5 years ago
- Graphic styles and colours for Scottish Government plots☆17Jan 13, 2026Updated last month
- Weekly exercises of the course of Stochastic Methods for Finance.☆11Apr 22, 2025Updated 10 months ago
- Package: Interactive Presentation Ninja☆10Jun 7, 2024Updated last year
- I analyze the interplay of three U.S. time series: unemployment, inflation and gross domestic product. The first cleans the data and inve…☆10Nov 1, 2019Updated 6 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆34Sep 28, 2024Updated last year
- A quarto extension for writing teaching practicals☆12Sep 21, 2025Updated 5 months ago
- Quarto extension for an opinionated letter template with customized letter head☆11Jun 5, 2024Updated last year
- Slides and code for "Validating Models in R" Strata 2016 RDay http://conferences.oreilly.com/strata/hadoop-big-data-ca/public/schedule/de…☆10Jun 22, 2020Updated 5 years ago
- R Based Data Science Training Delivered to the Ugandan Ministry of Finance and Bureau of Statistics☆11Aug 18, 2021Updated 4 years ago
- This is a read-only mirror of the CRAN R package repository. colorspace — A Toolbox for Manipulating and Assessing Colors and Palettes.…☆12Sep 22, 2025Updated 5 months ago
- Patterned Fills for R's ggplot2 and grid Graphics☆12Feb 13, 2026Updated 2 weeks ago
- Boost.Proto, rewritten and redesigned for C++11☆28Oct 7, 2013Updated 12 years ago
- Julia-themed Quarto.☆11Jul 10, 2024Updated last year
- Quarto Extension filter that adds a full screen button in the code blocks in RevealJs slides and html documents.☆14Apr 18, 2023Updated 2 years ago