rmgarch

MaRDI QIDQ38574swMATHCRANFDO

Authors Alexios Galanos

Last update 13 September 2026

Copyright license GNU General Public License, version 3.0

Software version identifier 1.3-9, PACKAGES.rds, 1.2-0, 1.2-5, 1.2-6, 1.2-8, 1.2-9, 1.3-0, 1.3-5, 1.3-6, 1.3-7, 1.4-2, 1.4-3

Official website https://cran.r-project.org/web/packages/rmgarch/index.html

Source code repository https://github.com/cran/rmgarch

Description

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

Cited in

(49)

• Stationary vine copula models for multivariate time series
• The impact of covariance misspecification in risk-based portfolios
• BatchGetSymbols
• RATS
• panelvar
• VIRF
• Analysis of dynamic correlation of Japanese stock returns with network clustering
• Managing risk with a realized copula parameter
• Linear time-varying regression with copula-DCC-GARCH models for volatility
• Estimation and decomposition of food price inflation risk
• PerformanceAnalytics
• quantmod
• cquad
• ProDenICA
• Rugarch
• MTS
• DySco
• OrthoPanels
• GAS
• cccp
• gogarch
• stochvol
• Copula.Markov
• tensorBSS
• Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
• fICA
• betategarch
• RiskPortfolios
• rvinecopulib
• PCA4TS
• freqdom
• A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
• Random autoregressive models: a structured overview
• Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
• ICtest
• ScoreDrivenModels.jl
• xtserial
• RiskMetrics
• tsBSS
• QuEST
• nlshrink
• mgarchBEKK
• Mosek.jl
• BEKKs
• riskParityPortfolio
• SamplingRB
• glpkAPI
• Lévy copulae for financial returns
• ConnectednessApproach

This page was built for software: rmgarch