The 'Tidymodels' Extension for GARCH Models

Garch framework for use with the 'tidymodels' ecosystem. It includes both univariate and multivariate methods from the 'rugarch' and 'rmgarch' packages. These models include DCC-Garch, Copula Garch and Go-GARCH among others.


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Reference manual

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install.packages("garchmodels")

0.1.1 by Alberto Almuiña, 6 months ago


Browse source code at https://github.com/cran/garchmodels


Authors: Alberto Almuiña [aut, cre]


Documentation:   PDF Manual  


Task views: Empirical Finance


MIT + file LICENSE license


Imports rlang, magrittr, purrr, dplyr, stringr, tibble, tidyr, dials

Depends on parsnip, rugarch, rmgarch

Suggests tidymodels, tidyverse, modeltime, timetk, lubridate, knitr, rmarkdown, roxygen2, testthat, covr


See at CRAN