garchx: Flexible and Robust GARCH-X Modelling

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.

Version: 1.2
Depends: R (≥ 3.4.0), zoo
Published: 2021-01-23
Author: Genaro Sucarrat [aut, cre]
Maintainer: Genaro Sucarrat <gsucarrat at gmail.com>
BugReports: https://github.com/gsucarrat/garchx/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: http://www.sucarrat.net/
NeedsCompilation: yes
Materials: NEWS
In views: Finance
CRAN checks: garchx results

Downloads:

Reference manual: garchx.pdf
Package source: garchx_1.2.tar.gz
Windows binaries: r-devel: garchx_1.2.zip, r-release: garchx_1.2.zip, r-oldrel: garchx_1.2.zip
macOS binaries: r-release: garchx_1.2.tgz, r-oldrel: garchx_1.2.tgz
Old sources: garchx archive

Reverse dependencies:

Reverse depends: tvgarch

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