Skip to content

AlbertoAlmuinha/garchmodels

Repository files navigation

garchmodels

CRAN status Total Downloads Codecov test coverage Lifecycle:maturing R-CMD-check

A parsnip backend for GARCH models in the tidymodels framework.

Tutorials

Installation

CRAN version:

install.packages("garchmodels")

Development version:

# install.packages("devtools")
devtools::install_github("AlbertoAlmuinha/garchmodels")

Why Garchmodels?

Garchmodels unlocks univariate and multivariate GARCH models in one framework.

In a single framework you will be able to find what you need:

  • Univariate Methods: garchmodels connects to the rugarch package.

  • Multivariate Methods: garchmodels connects to the rugarch and rmgarch packages. Available methods include DCC-Garch (Dynamic Conditional Correlation Garch), Copula Garch and GO-Garch models.

Releases

No releases published

Packages

No packages published

Languages