CRAN/E | garchx

garchx

Flexible and Robust GARCH-X Modelling

Installation

About

Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2018) doi:10.1017/S0266466617000512. Coefficients can straightforwardly be set to zero by omission, and quasi maximum likelihood methods ensure estimates are generally consistent and inference valid, even when the standardised innovations are non-normal and/or dependent over time, see for an overview of the package.

www.sucarrat.net/
Bug report File report

Key Metrics

Version 1.5
R ≥ 3.4.0
Published 2022-09-13 562 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks garchx results

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Maintainer

Maintainer

Genaro Sucarrat

gsucarrat@gmail.com

Authors

Genaro Sucarrat

aut / cre

Material

NEWS
Reference manual
Package source

In Views

Finance

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

garchx archive

Depends

R ≥ 3.4.0
methods
zoo

Suggests

tvgarch
lgarch

Reverse Depends

tvgarch