{
  "_id": "6acb43d7fe5cc25786e8d136",
  "Package": "rmgarch",
  "Type": "Package",
  "Title": "Multivariate GARCH Models",
  "Version": "1.4-3",
  "Date": "2026-09-10",
  "Authors@R": "c(person(\"Alexios\", \"Galanos\", role = c(\"aut\", \"cre\",\"cph\"), email = \"alexios@4dscape.com\", comment = c(ORCID = \"0009-0000-9308-0457\")))",
  "Maintainer": "Alexios Galanos <alexios@4dscape.com>",
  "Description": "Feasible multivariate GARCH models including DCC, GO-GARCH\nand Copula-GARCH.",
  "Collate": "rmgarch-extrafun.R rmgarch-var.R rmgarch-functions.R\nrmgarch-classes.R rmgarch-ica.R rmgarch-series.R\nrmgarch-mmean.R gogarch-classes.R gogarch-distributions.R\ngogarch-main.R gogarch-methods.R rdcc-classes.R rdcc-main.R\nrdcc-likelihoods.R rdcc-plots.R fdcc-likelihoods.R fdcc-main.R\nrdcc-methods.R rdcc-mdistributions.R rdcc-postestimation.R\nrdcc-solver.R copula-classes.R copula-distributions.R\ncopula-likelihoods.R copula-solver.R copula-fn.R\ncopula-transformations.R copula-main.R copula-postestimation.R\ncopula-methods.R rmgarch-tests.R rmgarch-scenario.R zzz.R",
  "LazyLoad": "yes",
  "URL": "https://github.com/alexiosg/rmgarch",
  "License": "GPL-3",
  "Config/pak/sysreqs": "cmake libgmp3-dev libmpfr-dev",
  "Repository": "https://alexiosg.r-universe.dev",
  "Date/Publication": "2026-09-11 03:56:25 UTC",
  "RemoteUrl": "https://github.com/alexiosg/rmgarch",
  "RemoteRef": "HEAD",
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  "NeedsCompilation": "yes",
  "Packaged": {
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  "Author": "Alexios Galanos [aut, cre, cph] (ORCID:\n<https://orcid.org/0009-0000-9308-0457>)",
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  "_created": "2026-10-11T07:44:53.000Z",
  "_published": "2026-10-11T08:07:51.440Z",
  "_buildurl": "https://github.com/r-universe/alexiosg/actions/runs/38122187261",
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    "id": "d204ecd116d7292530e68341d46efae863f30841",
    "author": "Alexios Galanos <alexios@4dscape.com>",
    "committer": "Alexios Galanos <alexios@4dscape.com>",
    "message": "Bump version to 1.4-3 for rmvnormx RNGScope bug fix\n\nMerges PR #7 (canyalniz): removes the redundant nested Rcpp::RNGScope\nin rmvnormx which was corrupting RNG state for callers (rmvtx, rmvlx),\nfreezing the chi-squared/exponential mixing variates and silently\nturning simulated multivariate Student-t/Laplace innovations into\nNormal ones in the DCC and copula simulation paths.\n\nGenerated with Devin\n\nCo-Authored-By: Devin <158243242+devin-ai-integration[bot]@users.noreply.github.com>\n",
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  "_maintainer": {
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    "email": "alexios@4dscape.com",
    "login": "alexiosg",
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    "description": "",
    "uuid": 6970491
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  "_dependencies": [
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      "package": "R",
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    {
      "package": "methods",
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  "_owner": "alexiosg",
  "_selfowned": true,
  "_usedby": 2,
  "_updates": [
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  "_tags": [],
  "_stars": 19,
  "_contributors": [
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    "type": "user",
    "name": "Alexios Galanos",
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  },
  "_mentions": 3,
  "_devurl": "https://github.com/alexiosg/rmgarch",
  "_searchresults": 553,
  "_topics": [
    "openblas",
    "cpp",
    "openmp"
  ],
  "_rbuild": "4.6.1",
  "_assets": [
    "extra/citation.cff",
    "extra/citation.html",
    "extra/citation.json",
    "extra/citation.txt",
    "extra/contents.json",
    "extra/manual.pdf",
    "extra/readme.html",
    "extra/readme.md",
    "extra/rmgarch.html"
  ],
  "_homeurl": "https://github.com/alexiosg/rmgarch",
  "_realowner": "alexiosg",
  "_cranurl": true,
  "_releases": [
    {
      "version": "1.2-0",
      "date": "2013-04-10"
    },
    {
      "version": "1.2-5",
      "date": "2014-01-24"
    },
    {
      "version": "1.2-6",
      "date": "2014-01-25"
    },
    {
      "version": "1.2-8",
      "date": "2014-06-30"
    },
    {
      "version": "1.2-9",
      "date": "2015-07-02"
    },
    {
      "version": "1.3-0",
      "date": "2015-12-28"
    },
    {
      "version": "1.3-5",
      "date": "2018-10-09"
    },
    {
      "version": "1.3-6",
      "date": "2019-01-15"
    },
    {
      "version": "1.3-7",
      "date": "2019-09-13"
    },
    {
      "version": "1.3-9",
      "date": "2022-02-05"
    },
    {
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      "date": "2025-08-31"
    },
    {
      "version": "1.4-3",
      "date": "2026-09-14"
    }
  ],
  "_exports": [
    "as.matrix",
    "betacokurt",
    "betacoskew",
    "betacovar",
    "cgarchfilter",
    "cgarchfit",
    "cgarchsim",
    "cgarchspec",
    "convolution",
    "cordist",
    "dccfilter",
    "dccfit",
    "dccforecast",
    "dccroll",
    "dccsim",
    "dccspec",
    "DCCtest",
    "dfft",
    "fastica",
    "first",
    "fmoments",
    "fscenario",
    "gogarchfilter",
    "gogarchfit",
    "gogarchforecast",
    "gogarchroll",
    "gogarchsim",
    "gogarchspec",
    "goget",
    "goload",
    "gportmoments",
    "last",
    "nisurface",
    "nportmoments",
    "pfft",
    "qfft",
    "radical",
    "rcokurt",
    "rcor",
    "rcoskew",
    "rcov",
    "rshape",
    "rskew",
    "varxfilter",
    "varxfit",
    "varxforecast",
    "varxsim",
    "wmargin"
  ],
  "_datasets": [
    {
      "name": "dji30retw",
      "title": "data: Dow Jones 30 Constituents Closing Value log Weekly Return",
      "object": "dji30retw",
      "file": "dji30retw.rda",
      "class": [
        "data.frame"
      ],
      "fields": [
        "AA",
        "AXP",
        "BA",
        "BAC",
        "C",
        "CAT",
        "CVX",
        "DD",
        "DIS",
        "GE",
        "GM",
        "HD",
        "HPQ",
        "IBM",
        "INTC",
        "JNJ",
        "JPM",
        "AIG",
        "KO",
        "MCD",
        "MMM",
        "MRK",
        "MSFT",
        "PFE",
        "PG",
        "T",
        "UTX",
        "VZ",
        "WMT",
        "XOM"
      ],
      "rows": 1141,
      "table": true,
      "tojson": true
    }
  ],
  "_help": [
    {
      "page": "rmgarch-package",
      "title": "The rmgarch package",
      "topics": [
        "rmgarch-package",
        "rmgarch"
      ]
    },
    {
      "page": "cGARCHfilter-class",
      "title": "class: Copula Filter Class",
      "topics": [
        "cGARCHfilter-class",
        "coef,cGARCHfilter-method",
        "fitted,cGARCHfilter-method",
        "likelihood,cGARCHfilter-method",
        "rcor,cGARCHfilter-method",
        "rcov,cGARCHfilter-method",
        "residuals,cGARCHfilter-method",
        "rshape,cGARCHfilter-method",
        "rskew,cGARCHfilter-method",
        "show,cGARCHfilter-method",
        "sigma,cGARCHfilter-method"
      ]
    },
    {
      "page": "cgarchfilter-methods",
      "title": "function: Copula-GARCH Filter",
      "topics": [
        "cgarchfilter",
        "cgarchfilter,ANY-method",
        "cgarchfilter,cGARCHspec-method"
      ]
    },
    {
      "page": "cGARCHfit-class",
      "title": "class: Copula Fit Class",
      "topics": [
        "cGARCHfit-class",
        "coef,cGARCHfit-method",
        "fitted,cGARCHfit-method",
        "likelihood,cGARCHfit-method",
        "rcor,cGARCHfit-method",
        "rcov,cGARCHfit-method",
        "residuals,cGARCHfit-method",
        "rshape,cGARCHfit-method",
        "rskew,cGARCHfit-method",
        "show,cGARCHfit-method",
        "sigma,cGARCHfit-method"
      ]
    },
    {
      "page": "cgarchfit-methods",
      "title": "function: Copula-GARCH Fit",
      "topics": [
        "cgarchfit",
        "cgarchfit,ANY-method",
        "cgarchfit,cGARCHspec-method"
      ]
    },
    {
      "page": "cGARCHsim-class",
      "title": "class: Copula Simulation Class",
      "topics": [
        "cGARCHsim-class",
        "fitted,cGARCHsim-method",
        "rcor,cGARCHsim-method",
        "rcov,cGARCHsim-method",
        "show,cGARCHsim-method",
        "sigma,cGARCHsim-method"
      ]
    },
    {
      "page": "cgarchsim-methods",
      "title": "function: Copula-GARCH Simulation",
      "topics": [
        "cgarchsim",
        "cgarchsim,ANY-method",
        "cgarchsim,cGARCHfit-method"
      ]
    },
    {
      "page": "cGARCHspec-class",
      "title": "class: Copula Specification Class",
      "topics": [
        "cGARCHspec-class",
        "setfixed<-,cGARCHspec,vector-method",
        "setstart<-,cGARCHspec,vector-method",
        "show,cGARCHspec-method"
      ]
    },
    {
      "page": "cgarchspec-methods",
      "title": "function: Copula-GARCH Specification",
      "topics": [
        "cgarchspec",
        "cgarchspec,ANY-method",
        "cgarchspec,uGARCHmultispec-method"
      ]
    },
    {
      "page": "cordist",
      "title": "A Correlation Distance Measure",
      "topics": [
        "cordist"
      ]
    },
    {
      "page": "DCCfilter-class",
      "title": "class: DCC Filter Class",
      "topics": [
        "coef,DCCfilter-method",
        "DCCfilter-class",
        "fitted,DCCfilter-method",
        "likelihood,DCCfilter-method",
        "nisurface,DCCfilter-method",
        "plot,DCCfilter,missing-method",
        "rcor,DCCfilter-method",
        "rcov,DCCfilter-method",
        "residuals,DCCfilter-method",
        "rshape,DCCfilter-method",
        "rskew,DCCfilter-method",
        "show,DCCfilter-method",
        "sigma,DCCfilter-method"
      ]
    },
    {
      "page": "dccfilter-methods",
      "title": "function: DCC-GARCH Filter",
      "topics": [
        "dccfilter",
        "dccfilter,ANY-method",
        "dccfilter,DCCspec-method"
      ]
    },
    {
      "page": "DCCfit-class",
      "title": "class: DCC Fit Class",
      "topics": [
        "coef,DCCfit-method",
        "DCCfit-class",
        "fitted,DCCfit-method",
        "infocriteria,DCCfit-method",
        "likelihood,DCCfit-method",
        "nisurface,DCCfit-method",
        "plot,DCCfit,missing-method",
        "rcor,DCCfit-method",
        "rcov,DCCfit-method",
        "residuals,DCCfit-method",
        "rshape",
        "rshape,DCCfit-method",
        "rskew",
        "rskew,DCCfit-method",
        "show,DCCfit-method",
        "sigma,DCCfit-method"
      ]
    },
    {
      "page": "dccfit-methods",
      "title": "function: DCC-GARCH Fit",
      "topics": [
        "dccfit",
        "dccfit,ANY-method",
        "dccfit,DCCspec-method"
      ]
    },
    {
      "page": "DCCforecast-class",
      "title": "class: DCC Forecast Class",
      "topics": [
        "DCCforecast-class",
        "fitted,DCCforecast-method",
        "plot,DCCforecast,missing-method",
        "rcor,DCCforecast-method",
        "rcov,DCCforecast-method",
        "rshape,DCCforecast-method",
        "rskew,DCCforecast-method",
        "show,DCCforecast-method",
        "sigma,DCCforecast-method"
      ]
    },
    {
      "page": "dccforecast-methods",
      "title": "function: DCC-GARCH Forecast",
      "topics": [
        "dccforecast",
        "dccforecast,ANY-method",
        "dccforecast,DCCfit-method"
      ]
    },
    {
      "page": "DCCroll-class",
      "title": "class: DCC Roll Class",
      "topics": [
        "coef,DCCroll-method",
        "DCCroll-class",
        "fitted,DCCroll-method",
        "likelihood,DCCroll-method",
        "plot,DCCroll,missing-method",
        "rcor,DCCroll-method",
        "rcov,DCCroll-method",
        "rshape,DCCroll-method",
        "rskew,DCCroll-method",
        "show,DCCroll-method",
        "sigma,DCCroll-method"
      ]
    },
    {
      "page": "dccroll-methods",
      "title": "function: DCC-GARCH Rolling Forecast",
      "topics": [
        "dccroll",
        "dccroll,ANY-method",
        "dccroll,DCCspec-method"
      ]
    },
    {
      "page": "DCCsim-class",
      "title": "class: DCC Simulation Class",
      "topics": [
        "DCCsim-class",
        "fitted,DCCsim-method",
        "rcor,DCCsim-method",
        "rcov,DCCsim-method",
        "show,DCCsim-method",
        "sigma,DCCsim-method"
      ]
    },
    {
      "page": "dccsim-methods",
      "title": "function: DCC-GARCH Simulation",
      "topics": [
        "dccsim",
        "dccsim,ANY-method",
        "dccsim,DCCfit-method",
        "dccsim,DCCspec-method"
      ]
    },
    {
      "page": "DCCspec-class",
      "title": "class: DCC Specification Class",
      "topics": [
        "DCCspec-class",
        "setfixed<-,DCCspec,vector-method",
        "setstart<-,DCCspec,vector-method",
        "show,DCCspec-method"
      ]
    },
    {
      "page": "dccspec-methods",
      "title": "function: DCC-GARCH Specification",
      "topics": [
        "dccspec",
        "dccspec,ANY-method",
        "dccspec,uGARCHmultispec-method"
      ]
    },
    {
      "page": "DCCtest",
      "title": "Engle and Sheppard Test of Dynamic Correlation",
      "topics": [
        "DCCtest"
      ]
    },
    {
      "page": "dji30retw",
      "title": "data: Dow Jones 30 Constituents Closing Value log Weekly Return",
      "topics": [
        "dji30retw"
      ]
    },
    {
      "page": "fastica",
      "title": "Fast Fixed Point ICA",
      "topics": [
        "fastica"
      ]
    },
    {
      "page": "fMoments-class",
      "title": "Class '\"fMoments\"'",
      "topics": [
        "fitted,fMoments-method",
        "fMoments-class",
        "rcokurt,fMoments-method",
        "rcoskew,fMoments-method",
        "rcov,fMoments-method",
        "show,fMoments-method"
      ]
    },
    {
      "page": "fmoments-methods",
      "title": "Moment Based Forecast Generation",
      "topics": [
        "fmoments",
        "fmoments,ANY-method",
        "fmoments-methods"
      ]
    },
    {
      "page": "fScenario-class",
      "title": "Class '\"fScenario\"'",
      "topics": [
        "fitted,fScenario-method",
        "fScenario-class",
        "goget",
        "goget,ANY-method",
        "goget,fScenario-method",
        "show,fScenario-method"
      ]
    },
    {
      "page": "fscenario-methods",
      "title": "Scenario Generation",
      "topics": [
        "fscenario",
        "fscenario,ANY-method",
        "fscenario-methods"
      ]
    },
    {
      "page": "goGARCHfft-class",
      "title": "Class: GO-GARCH portfolio density",
      "topics": [
        "dfft",
        "dfft,goGARCHfft-method",
        "goGARCHfft-class",
        "nportmoments",
        "nportmoments,goGARCHfft-method",
        "pfft",
        "pfft,goGARCHfft-method",
        "qfft",
        "qfft,goGARCHfft-method"
      ]
    },
    {
      "page": "goGARCHfilter-class",
      "title": "class: GO-GARCH Filter Class",
      "topics": [
        "as.matrix,goGARCHfilter-method",
        "betacokurt,goGARCHfilter-method",
        "betacoskew,goGARCHfilter-method",
        "betacovar,goGARCHfilter-method",
        "coef,goGARCHfilter-method",
        "convolution,goGARCHfilter-method",
        "fitted,goGARCHfilter-method",
        "goGARCHfilter-class",
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        "likelihood,goGARCHfilter-method",
        "nisurface,goGARCHfilter-method",
        "rcokurt,goGARCHfilter-method",
        "rcor,goGARCHfilter-method",
        "rcoskew,goGARCHfilter-method",
        "rcov,goGARCHfilter-method",
        "residuals,goGARCHfilter-method",
        "show,goGARCHfilter-method"
      ]
    },
    {
      "page": "gogarchfilter-methods",
      "title": "function: GO-GARCH Filter",
      "topics": [
        "gogarchfilter",
        "gogarchfilter,ANY-method",
        "gogarchfilter,goGARCHfit-method"
      ]
    },
    {
      "page": "goGARCHfit-class",
      "title": "class: GO-GARCH Fit Class",
      "topics": [
        "as.matrix,goGARCHfit-method",
        "betacokurt",
        "betacokurt,goGARCHfit-method",
        "betacoskew",
        "betacoskew,goGARCHfit-method",
        "betacovar",
        "betacovar,goGARCHfit-method",
        "coef,goGARCHfit-method",
        "convolution",
        "convolution,goGARCHfit-method",
        "fitted,goGARCHfit-method",
        "goGARCHfit-class",
        "gportmoments",
        "gportmoments,goGARCHfit-method",
        "likelihood,goGARCHfit-method",
        "nisurface",
        "nisurface,goGARCHfit-method",
        "rcokurt",
        "rcokurt,goGARCHfit-method",
        "rcor",
        "rcor,goGARCHfit-method",
        "rcoskew",
        "rcoskew,goGARCHfit-method",
        "rcov",
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        "residuals,goGARCHfit-method",
        "show,goGARCHfit-method"
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      "page": "gogarchfit-methods",
      "title": "function: GO-GARCH Filter",
      "topics": [
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        "gogarchfit,ANY-method",
        "gogarchfit,goGARCHspec-method"
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    {
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        "as.matrix,goGARCHforecast-method",
        "betacokurt,goGARCHforecast-method",
        "betacoskew,goGARCHforecast-method",
        "betacovar,goGARCHforecast-method",
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        "goGARCHforecast-class",
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        "rcokurt,goGARCHforecast-method",
        "rcor,goGARCHforecast-method",
        "rcoskew,goGARCHforecast-method",
        "rcov,goGARCHforecast-method",
        "show,goGARCHforecast-method",
        "sigma,goGARCHforecast-method"
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      "page": "gogarchforecast-methods",
      "title": "function: GO-GARCH Forecast",
      "topics": [
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        "gogarchforecast,ANY-method",
        "gogarchforecast,goGARCHfit-method",
        "gogarchforecast-methods"
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        "convolution,goGARCHroll-method",
        "fitted,goGARCHroll-method",
        "goGARCHroll-class",
        "gportmoments,goGARCHroll-method",
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        "rcov,goGARCHroll-method",
        "sigma,goGARCHroll-method"
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      "topics": [
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        "gogarchroll,ANY-method",
        "gogarchroll,goGARCHspec-method"
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    },
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      "title": "class: GO-GARCH Simulation Class",
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        "convolution,goGARCHsim-method",
        "goGARCHsim-class",
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        "rcokurt,goGARCHsim-method",
        "rcor,goGARCHsim-method",
        "rcoskew,goGARCHsim-method",
        "rcov,goGARCHsim-method"
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      "title": "function: GO-GARCH Simulation",
      "topics": [
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        "gogarchsim,ANY-method",
        "gogarchsim,goGARCHfilter-method",
        "gogarchsim,goGARCHfit-method"
      ]
    },
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      "page": "goGARCHspec-class",
      "title": "class: GO-GARCH Specification Class",
      "topics": [
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        "show,goGARCHspec-method"
      ]
    },
    {
      "page": "gogarchspec-methods",
      "title": "function: GO-GARCH Specification",
      "topics": [
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        "gogarchspec,ANY-method",
        "gogarchspec-methods"
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      "page": "goload-methods",
      "title": "Load Scenario from File",
      "topics": [
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        "goload,ANY-method",
        "goload,fMoments-method",
        "goload,fScenario-method",
        "goload-methods"
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      "page": "last-methods",
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      ]
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      "page": "radical",
      "title": "The Robust Accurate, Direct ICA aLgorithm (RADICAL).",
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    },
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      "page": "varxfit",
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    },
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