Package: tsgarch 1.0.4

Alexios Galanos

tsgarch: Univariate GARCH Models

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.

Authors:Alexios Galanos [aut, cre, cph]

tsgarch_1.0.4.tar.gz
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tsgarch_1.0.4.tgz(r-4.6-x86_64)tsgarch_1.0.4.tgz(r-4.6-arm64)tsgarch_1.0.4.tgz(r-4.5-x86_64)tsgarch_1.0.4.tgz(r-4.5-arm64)
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manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
tsgarch/json (API)

# Install 'tsgarch' in R:

install.packages('tsgarch', repos = c('https://tsmodels.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/tsmodels/tsgarch/issues

Uses libs:

c++– GNU Standard C++ Library v3

Datasets:

dmbp - Deutschemark/British pound Exchange Rate
nikkei - Japanese NIKKEI Stock Index

On CRAN:

garch cpp

6.79 score 19 stars 1 packages 36 scripts 654 downloads 13 exports 91 dependencies

Last updated from:a0183e4ee8. Checks:12 OK, 1 FAIL. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	445
linux-devel-x86_64	OK	485
source / vignettes	OK	647
linux-release-arm64	OK	470
linux-release-x86_64	OK	475
macos-release-arm64	OK	335
macos-release-x86_64	OK	467
macos-oldrel-arm64	OK	285
macos-oldrel-x86_64	OK	496
windows-devel	OK	469
windows-release	OK	442
windows-oldrel	OK	447
wasm-release	FAIL	211

Exports:as_flextable benchmark_fcp benchmark_laurent bread estfun estimate.tsgarch.spec garch_modelspec newsimpact nloptr_fast_options nloptr_global_options omega persistence to_multi_estimate

Dependencies:alabama askpass base64enc bslib cachem cli codetools cpp11 data.table digest DistributionUtils dplyr evaluate fastmap flextable fontawesome fontBitstreamVera fontLiberation fontquiver fs future future.apply gdtools GeneralizedHyperbolic generics globals glue highr htmltools jquerylib jsonlite KernSmooth knitr lattice lifecycle listenv lubridate magrittr MASS Matrix memoise mev mime nleqslv nloptr numDeriv officer openssl parallelly pillar pkgconfig progressr purrr R6 ragg rappdirs rbibutils Rcpp RcppArmadillo RcppEigen Rdpack rlang rmarkdown Rsolnp sandwich sass SkewHyperbolic stringi stringr sys systemfonts textshaping tibble tidyr tidyselect timechange tinytex TMB truncnorm tsdistributions tsmethods utf8 uuid vctrs withr xfun xml2 xts yaml zip zoo

Package Demo

Estimation | Simulation and Prediction | Conclusion

Rendered fromdemonstration.Rmdusingknitr::rmarkdown

Last update: 2026-05-23
Started: 2024-04-22

Benchmark

Rendered frombenchmark.Rmdusingknitr::rmarkdown

Last update: 2024-10-11
Started: 2024-04-22

GARCH Models

Rendered fromgarch_models.Rmdusingknitr::rmarkdown

Last update: 2024-10-11
Started: 2024-04-22

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Combine univariate GARCH specifications into a multi-specification object	+.tsgarch.spec
Akaike's An Information Criterion	AIC AIC.tsgarch.estimate
Transform an object into flextable	as_flextable.benchmark as_flextable.benchmark.fcp as_flextable.benchmark.laurent
Transform a summary object into flextable	as_flextable.summary.tsgarch.estimate
FCP GARCH Benchmark	benchmark_fcp
Laurent APARCH Benchmark	benchmark_laurent
Bayesian Information Criterion	BIC BIC.tsgarch.estimate
Bread Method	bread.tsgarch.estimate
Extract Model Coefficients	coef coef.tsgarch.estimate
Confidence Intervals for Model Parameters	confint confint.tsgarch.estimate
Deutschemark/British pound Exchange Rate	dmbp
Score Method	estfun.tsgarch.estimate
Estimates an GARCH model given a specification object using maximum likelihood and autodiff	estimate estimate.tsgarch.multispec estimate.tsgarch.spec
Extract Model Fitted Values	fitted fitted.tsgarch.estimate fitted.tsgarch.multi_estimate
GARCH Model Specification	garch_modelspec
Half Life	halflife halflife.tsgarch.estimate
Extract Log-Likelihood	logLik logLik.tsgarch.estimate
News Impact Curve	newsimpact newsimpact.tsgarch.estimate
Japanese NIKKEI Stock Index	nikkei
Default options for nloptr solver	nloptr_fast_options nloptr_global_options nloptr_options
Extract the Number of Observations	nobs nobs.tsgarch.estimate
Omega (Variance Equation Intercept)	omega omega.tsgarch.estimate omega.tsgarch.spec
Model Persistence	persistence persistence.tsgarch.estimate persistence.tsgarch.spec
Probability Integral Transform (PIT)	pit pit.tsgarch.estimate
Estimated Model Plots	plot.tsgarch.estimate
News Impact Plot	plot.tsgarch.newsimpact
Model Prediction	predict predict.tsgarch.estimate
Model Estimation Summary Print method	print.summary.tsgarch.estimate
Profile Summary Print method	print.summary.tsgarch.profile
Extract Model Residuals	residuals residuals.tsgarch.estimate residuals.tsgarch.multi_estimate
Extract Volatility (Conditional Standard Deviation)	sigma sigma.tsgarch.estimate sigma.tsgarch.multi_estimate
Model Simulation	simulate simulate.tsgarch.spec
GARCH Model Estimation Summary	summary summary.tsgarch.estimate
GARCH Profile Summary	summary.tsgarch.profile
Convert a list of tsgarch.estimate objects to a multi_estimate object	to_multi_estimate
Walk Forward Rolling Backtest	tsbacktest tsbacktest.tsgarch.spec
Model Equation (LaTeX)	tsequation tsequation.tsgarch.estimate
Model Filtering	tsfilter tsfilter.tsgarch.estimate tsfilter.tsgarch.spec
Model Parameter Profiling	tsprofile tsprofile.tsgarch.spec
Unconditional Value	unconditional unconditional.tsgarch.estimate unconditional.tsgarch.spec
The Covariance Matrix of the Estimated Parameters	vcov vcov.tsgarch.estimate