{ "_id": "6a197bf0acfb0bcc41df609a", "Package": "tvgarch", "Type": "Package", "Title": "Time Varying GARCH Modelling", "Version": "2.4.3", "Date": "2025-09-01", "Authors@R": "c(person(given = \"Susana\",\nfamily = \"Campos-Martins\",\nrole = c(\"aut\", \"cre\"),\nemail = \"scmartins@ucp.pt\"),\nperson(given = \"Genaro\",\nfamily = \"Sucarrat\",\nrole = \"ctb\"))", "Maintainer": "Susana Campos-Martins ", "Description": "Simulation, estimation and inference for univariate and\nmultivariate TV(s)-GARCH(p,q,r)-X models, where s indicates the\nnumber and shape of the transition functions, p is the ARCH\norder, q is the GARCH order, r is the asymmetry order, and 'X'\nindicates that covariates can be included; see Campos-Martins\nand Sucarrat (2024) . In the\nmultivariate case, variances are estimated equation by equation\nand dynamic conditional correlations are allowed. The TV\nlong-term component of the variance as in the multiplicative\nTV-GARCH model of Amado and Terasvirta (2013)\n introduces non-stationarity\nwhereas the GARCH-X short-term component describes conditional\nheteroscedasticity. Maximisation by parts leads to consistent\nand asymptotically normal estimates.", "License": "GPL (>= 2)", "URL": "https://sites.google.com/site/susanacamposmartins", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-29 10:29:29 UTC", "User": "root" }, "Author": "Susana Campos-Martins [aut, cre], Genaro Sucarrat [ctb]", "Repository": "https://scmartins.r-universe.dev", "Date/Publication": "2025-09-01 17:40:02 UTC", "RemoteUrl": "https://github.com/cran/tvgarch", "RemoteRef": "HEAD", "RemoteSha": "1c406d1cf46d06662dafb3d2b0c18a49d5344f2d", "MD5sum": "aaf52cf06c14799fd49a078f9c832fe5", "_user": "scmartins", "_type": "src", "_file": "tvgarch_2.4.3.tar.gz", "_fileid": "b95e3c5f1d567cbdcec7ab70a877ceba053192e81996a5df750495d64d08c7ea", "_filesize": 194544, "_sha256": "b95e3c5f1d567cbdcec7ab70a877ceba053192e81996a5df750495d64d08c7ea", "_created": "2026-05-29T10:29:29.000Z", "_published": "2026-05-29T11:43:44.048Z", "_distro": "noble", "_jobs": [ { "job": 78483561512, "time": 104, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7288628062" }, { "job": 78483561665, "time": 120, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7288632855" }, { "job": 78483561503, "time": 148, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "7289826189" }, { "job": 78483561589, "time": 211, "config": "macos-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7289837647" }, { "job": 78483213471, "time": 148, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7288597623" }, { "job": 78483561558, "time": 86, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7288623254" }, { "job": 78483561507, "time": 89, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "7288623794" }, { "job": 78483561515, "time": 79, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "7288621083" }, { "job": 78483561752, "time": 104, "config": "windows-release", "r": "4.6.0", "check": "OK", "artifact": "7288628194" } ], "_buildurl": "https://github.com/r-universe/scmartins/actions/runs/26632076864", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/tvgarch", "_commit": { "id": "1c406d1cf46d06662dafb3d2b0c18a49d5344f2d", "author": "Susana Campos-Martins ", "committer": "cran-robot ", "message": "version 2.4.3\n", "time": 1756748402 }, "_maintainer": { "name": "Susana Campos-Martins", "email": "scmartins@ucp.pt", "login": "scmartins", "description": "", "uuid": 26062976 }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 3.5.0", "role": "Depends" }, { "package": "garchx", "role": "Depends" }, { "package": "zoo", "role": "Depends" }, { "package": "numDeriv", "role": "Depends" } ], "_owner": "cran", "_selfowned": true, "_usedby": 0, "_updates": [ { "week": "2025-36", "n": 1 } ], "_tags": [ { "name": "2.4.3", "date": "2025-09-01" } ], "_stars": 1, "_contributors": [ { "user": "scmartins", "count": 2, "uuid": 26062976 } ], "_userbio": { "uuid": 26062976, "type": "user", "name": "Susana Campos Martins" }, "_downloads": { "count": 187, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/tvgarch" }, "_searchresults": 0, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/NEWS.html", "extra/NEWS.txt", "extra/tvgarch.html", "manual.pdf" ], "_realowner": "scmartins", "_cranurl": false, "_releases": [ { "version": "1.0", "date": "2021-02-05" }, { "version": "2.0", "date": "2021-04-16" }, { "version": "2.1", "date": "2021-09-02" }, { "version": "2.2", "date": "2021-12-21" }, { "version": "2.3", "date": "2023-01-28" }, { "version": "2.4", "date": "2023-03-08" }, { "version": "2.4.1", "date": "2023-10-01" }, { "version": "2.4.2", "date": "2024-04-05" }, { "version": "2.4.3", "date": "2025-09-01" } ], "_exports": [ "combinations", "combos", "garchObj", "mtvgarch", "mtvgarchSim", "tv", "tvgarch", "tvgarchObj", "tvgarchSim", "tvgarchTest", "tvObj" ], "_help": [ { "page": "tvgarch-package", "title": "Time Varying GARCH Modelling", "topics": [ "tvgarch-package" ] }, { "page": "coef.mtvgarch", "title": "Extraction functions for multivariate 'mtvgarch' objects", "topics": [ "coef.mtvgarch", "fitted.mtvgarch", "logLik.mtvgarch", "nobs.mtvgarch", "plot.mtvgarch", "predict.mtvgarch", "print.mtvgarch", "quantile.mtvgarch", "residuals.mtvgarch", "summary.mtvgarch", "toLatex.mtvgarch", "vcov.mtvgarch" ] }, { "page": "coef.tvgarch", "title": "Extraction functions (S3 methods) for univarate 'tvgarch' objects", "topics": [ "coef.tvgarch", "fitted.tvgarch", "logLik.tvgarch", "nobs.tvgarch", "plot.tvgarch", "predict.tvgarch", "print.tvgarch", "quantile.tvgarch", "residuals.tvgarch", "summary.tvgarch", "toLatex.tvgarch", "vcov.tvgarch" ] }, { "page": "coef.tvgarchTest", "title": "Extraction functions for univarate 'tvgarchTest' objects", "topics": [ "coef.tvgarchTest", "fitted.tvgarchTest", "logLik.tvgarchTest", "nobs.tvgarchTest", "plot.tvgarchTest", "predict.tvgarchTest", "print.tvgarchTest", "quantile.tvgarchTest", "residuals.tvgarchTest", "summary.tvgarchTest", "toLatex.tvgarchTest", "vcov.tvgarchTest" ] }, { "page": "combos", "title": "Compute all combinations of a hierarchy of models of n variables, and enumerate the combinations of the elements of a vector.", "topics": [ "combinations", "combos" ] }, { "page": "dccObj", "title": "Auxiliary functions", "topics": [ "dccObj" ] }, { "page": "mtvgarch", "title": "Estimate a multivariate TV-GARCH-X model", "topics": [ "mtvgarch" ] }, { "page": "mtvgarchSim", "title": "Simulate from a multivariate TV-GARCH-X model", "topics": [ "mtvgarchSim" ] }, { "page": "tvgarch", "title": "Estimate a TV-GARCH-X model", "topics": [ "tvgarch" ] }, { "page": "tvgarchObj", "title": "Auxiliary functions", "topics": [ "garchObj", "tv", "tvgarchObj", "tvObj" ] }, { "page": "tvgarchSim", "title": "Simulate from a univariate TV-GARCH-X model", "topics": [ "tvgarchSim" ] }, { "page": "tvgarchTest", "title": "Test of a multiplicative time-varying GARCH model", "topics": [ "tvgarchTest" ] } ], "_rundeps": [ "garchx", "lattice", "numDeriv", "zoo" ], "_score": 1, "_indexed": true, "_nocasepkg": "tvgarch", "_universes": [ "scmartins" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "2.4.3", "date": "2026-05-29T10:31:03.000Z", "distro": "noble", "commit": "1c406d1cf46d06662dafb3d2b0c18a49d5344f2d", "fileid": "7778d76cade332b80ec99db063a516969188478dc371e1d444c90703914c6fc0", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/scmartins/actions/runs/26632076864" }, { "r": "4.6.0", "os": "linux", "version": "2.4.3", "date": "2026-05-29T10:31:18.000Z", "distro": "noble", "commit": "1c406d1cf46d06662dafb3d2b0c18a49d5344f2d", "fileid": "128ad10c3c4dbc0bd6a307b7059c3b53ce256c30d817bb166298d0ba154ff9ff", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/scmartins/actions/runs/26632076864" }, { "r": "4.5.3", "os": "mac", "version": "2.4.3", "date": "2026-05-29T11:41:53.000Z", "commit": "1c406d1cf46d06662dafb3d2b0c18a49d5344f2d", "fileid": "2bb19a68952c929e43a00f113fed13248aa4a288eb570d92247087fcd087831f", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/scmartins/actions/runs/26632076864" }, { "r": "4.6.0", "os": "mac", "version": "2.4.3", "date": "2026-05-29T11:42:18.000Z", "commit": "1c406d1cf46d06662dafb3d2b0c18a49d5344f2d", "fileid": "3a89decb0ca90e6971ab0564b104badbf5a675445150e6951802d0d4911ffb11", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/scmartins/actions/runs/26632076864" }, { "r": "4.6.0", "os": "wasm", "version": "2.4.3", "date": "2026-05-29T10:31:12.000Z", "commit": "1c406d1cf46d06662dafb3d2b0c18a49d5344f2d", "fileid": "0406f196fb226e7d8635c8631f7d3a786951309d841293a2a9a72a1ae606ae6b", "status": "success", "buildurl": "https://github.com/r-universe/scmartins/actions/runs/26632076864" }, { "r": "4.7.0", "os": "win", "version": "2.4.3", "date": "2026-05-29T10:30:37.000Z", "commit": "1c406d1cf46d06662dafb3d2b0c18a49d5344f2d", "fileid": "0a7c769bee44c52625b6c5ad96362471b1224a9c2c98e8dca9bf676594e5ee64", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/scmartins/actions/runs/26632076864" }, { "r": "4.5.3", "os": "win", "version": "2.4.3", "date": "2026-05-29T10:30:30.000Z", "commit": "1c406d1cf46d06662dafb3d2b0c18a49d5344f2d", "fileid": "13cd8ba4a162a1bbe376f5c0a36346d08d8ef28b1d3230027b98c3563aed6c5e", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/scmartins/actions/runs/26632076864" }, { "r": "4.6.0", "os": "win", "version": "2.4.3", "date": "2026-05-29T10:30:48.000Z", "commit": "1c406d1cf46d06662dafb3d2b0c18a49d5344f2d", "fileid": "3c0bf38c539016b719d1494e8705b8076399b4581914e6fef616ea6cc25dc24f", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/scmartins/actions/runs/26632076864" } ] }