Package: tsgarch 1.0.5

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_1.0.5.tar.gz
tsgarch_1.0.5.zip(r-4.7-x86_64)tsgarch_1.0.5.zip(r-4.7-arm64)tsgarch_1.0.5.zip(r-4.6-x86_64)tsgarch_1.0.5.zip(r-4.6-arm64)tsgarch_1.0.5.zip(r-4.5-x86_64)
tsgarch_1.0.5.tgz(r-4.6-x86_64)tsgarch_1.0.5.tgz(r-4.6-arm64)tsgarch_1.0.5.tgz(r-4.5-x86_64)tsgarch_1.0.5.tgz(r-4.5-arm64)
tsgarch_1.0.5.tar.gz(r-4.7-arm64)tsgarch_1.0.5.tar.gz(r-4.7-x86_64)tsgarch_1.0.5.tar.gz(r-4.6-arm64)tsgarch_1.0.5.tar.gz(r-4.6-x86_64)
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:

Conda:

garchcpp

7.48 score 20 stars 1 packages 42 scripts 487 downloads 17 exports 91 dependencies

Last updated from:1781d42e2b. Checks:14 OK, 1 FAIL. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK442
linux-devel-x86_64OK465
source / vignettesOK660
linux-release-arm64OK445
linux-release-x86_64OK443
macos-release-arm64OK452
macos-release-x86_64OK730
macos-oldrel-arm64OK467
macos-oldrel-x86_64OK564
windows-devel-arm64OK512
windows-devel-x86_64OK552
windows-release-arm64OK587
windows-release-x86_64OK488
windows-oldrel-x86_64OK532
wasm-releaseFAIL124

Exports:arma_coefficientsarma_inverse_rootsarma_irfarma_near_cancellationas_flextablebenchmark_fcpbenchmark_laurentbreadestfunestimate.tsgarch.specgarch_modelspecnewsimpactnloptr_fast_optionsnloptr_global_optionsomegapersistenceto_multi_estimate

Dependencies:alabamaaskpassbase64encbslibcachemclicodetoolscpp11data.tabledigestDistributionUtilsdplyrevaluatefastmapflextablefontawesomefontBitstreamVerafontLiberationfontquiverfsfuturefuture.applygdtoolsGeneralizedHyperbolicgenericsglobalsgluehighrhtmltoolsjquerylibjsonliteKernSmoothknitrlatticelifecyclelistenvlubridatemagrittrMASSMatrixmemoisemevmimenleqslvnloptrnumDerivofficeropensslparallellypillarpkgconfigprogressrpurrrR6raggrappdirsrbibutilsRcppRcppArmadilloRcppEigenRdpackrlangrmarkdownRsolnpsandwichsassSkewHyperbolicstringistringrsyssystemfontstextshapingtibbletidyrtidyselecttimechangetinytexTMBtruncnormtsdistributionstsmethodsutf8uuidvctrswithrxfunxml2xtsyamlzipzoo

ARMA-GARCH Estimation
The Model | Regressors in the Mean Equation (ARMAX) | Which convention should I use? | Stationarity and Invertibility | Diagnostic helpers and the "ARMA(1,1) trap" | Why near-cancellation matters | Demo
Rendered fromarma_garch.Rmdusingknitr::rmarkdown

Last update: 2026-09-19
Started: 2026-09-13

GARCH Models
Rendered fromgarch_models.Rmdusingknitr::rmarkdown

Last update: 2026-09-14
Started: 2024-04-22

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

Readme and manuals

Help Manual

Help pageTopics
Combine univariate GARCH specifications into a multi-specification object+.tsgarch.spec
Akaike's An Information CriterionAIC AIC.tsgarch.estimate
ARMA mean equation coefficientsarma_coefficients
Inverse AR/MA Rootsarma_inverse_roots
ARMA Impulse Response Functionarma_irf
Near AR/MA Root Cancellationarma_near_cancellation
Transform an object into flextableas_flextable.benchmark as_flextable.benchmark.fcp as_flextable.benchmark.laurent
Transform a summary object into flextableas_flextable.summary.tsgarch.estimate
FCP GARCH Benchmarkbenchmark_fcp
Laurent APARCH Benchmarkbenchmark_laurent
Bayesian Information CriterionBIC BIC.tsgarch.estimate
Bread Methodbread.tsgarch.estimate
Extract Model Coefficientscoef coef.tsgarch.estimate
Confidence Intervals for Model Parametersconfint confint.tsgarch.estimate
Deutschemark/British pound Exchange Ratedmbp
Score Methodestfun.tsgarch.estimate
Estimates an GARCH model given a specification object using maximum likelihood and autodiffestimate estimate.tsgarch.multispec estimate.tsgarch.spec
Extract Model Fitted Valuesfitted fitted.tsgarch.estimate fitted.tsgarch.multi_estimate
GARCH Model Specificationgarch_modelspec
Half Lifehalflife halflife.tsgarch.estimate
Extract Log-LikelihoodlogLik logLik.tsgarch.estimate
News Impact Curvenewsimpact newsimpact.tsgarch.estimate
Japanese NIKKEI Stock Indexnikkei
Default options for nloptr solvernloptr_fast_options nloptr_global_options nloptr_options
Extract the Number of Observationsnobs nobs.tsgarch.estimate
Omega (Variance Equation Intercept)omega omega.tsgarch.estimate omega.tsgarch.spec
Model Persistencepersistence persistence.tsgarch.estimate persistence.tsgarch.spec
Probability Integral Transform (PIT)pit pit.tsgarch.estimate
Estimated Model Plotsplot.tsgarch.estimate
News Impact Plotplot.tsgarch.newsimpact
Model Predictionpredict predict.tsgarch.estimate
Model Estimation Summary Print methodprint.summary.tsgarch.estimate
Profile Summary Print methodprint.summary.tsgarch.profile
Extract Model Residualsresiduals residuals.tsgarch.estimate residuals.tsgarch.multi_estimate
Extract Volatility (Conditional Standard Deviation)sigma sigma.tsgarch.estimate sigma.tsgarch.multi_estimate
Model Simulationsimulate simulate.tsgarch.spec
GARCH Model Estimation Summarysummary summary.tsgarch.estimate
GARCH Profile Summarysummary.tsgarch.profile
Convert a list of tsgarch.estimate objects to a multi_estimate objectto_multi_estimate
Walk Forward Rolling Backtesttsbacktest tsbacktest.tsgarch.spec
Model Equation (LaTeX)tsequation tsequation.tsgarch.estimate
Model Filteringtsfilter tsfilter.tsgarch.estimate tsfilter.tsgarch.spec
Model Parameter Profilingtsprofile tsprofile.tsgarch.spec
Unconditional Valueunconditional unconditional.tsgarch.estimate unconditional.tsgarch.spec
The Covariance Matrix of the Estimated Parametersvcov vcov.tsgarch.estimate