CRAN/E | tvgarch

tvgarch

Time Varying GARCH Modelling

Installation

About

Simulation, estimation and inference for univariate and multivariate TV(s)-GARCH(p,q,r)-X models, where s indicates the number and shape of the transition functions, p is the ARCH order, q is the GARCH order, r is the asymmetry order, and 'X' indicates that covariates can be included. In the multivariate case, variances are estimated equation by equation and dynamic conditional correlations are allowed. The TV long-term component of the variance as in the multiplicative TV-GARCH model of Amado and Ter{\"a}svirta (2013) doi:10.1016/j.jeconom.2013.03.006 introduces non-stationarity whereas the GARCH-X short-term component describes conditional heteroscedasticity. Maximisation by parts leads to consistent and asymptotically normal estimates.

sites.google.com/site/susanacamposmartins

Key Metrics

Version 2.4.1
R ≥ 3.5.0
Published 2023-10-01 180 days ago
Needs compilation? no
License GPL-2
License GPL-3
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Maintainer

Maintainer

Susana Campos-Martins

susana.martins@nuffield.ox.ac.uk

Authors

Susana Campos-Martins

aut / cre

Genaro Sucarrat

ctb

Material

NEWS
Reference manual
Package source

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

tvgarch archive

Depends

R ≥ 3.5.0
garchx
zoo
numDeriv

Reverse Suggests

garchx