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.


Reference manual

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0.1.1 by Alberto Almuiña, 9 months ago

Browse source code at

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