The tsmarch package represents a re-write and re-think of the models in rmgarch. It is written using simpler S3 methods and classes, has a cleaner code base, extensive documentation and unit tests, provides speed gains by making use of parallelization in both R (via the future package) and in the C++ code (via RcppParallel package), and works with the new univariate GARCH package tsgarch.
The package can be installed from CRAN or the tsmodels github repo:
install.package("tsmarch")
remotes::install_github("tsmodels/tsmarch", dependencies = TRUE)
The online vignette with a demo is available here.
Some notes on the ICA based algorithms used in the GOGARCH model are available in a blog post.
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