garchx: Flexible and Robust GARCH-X Modelling

Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates 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.

Version: 1.1
Depends: R (≥ 3.4.0), zoo
Published: 2020-05-10
Author: Genaro Sucarrat [aut, cre]
Maintainer: Genaro Sucarrat <gsucarrat at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: NEWS
CRAN checks: garchx results


Reference manual: garchx.pdf
Package source: garchx_1.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: garchx_1.1.tgz, r-oldrel: garchx_1.1.tgz
Old sources: garchx archive


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