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:	1.3
Depends:	R (≥ 3.4.0), zoo
Published:	2021-07-15
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

Documentation:

Reference manual:

garchx.pdf

Downloads:

Package source:	garchx_1.3.tar.gz
Windows binaries:	r-devel: garchx_1.3.zip, r-release: garchx_1.3.zip, r-oldrel: garchx_1.3.zip
macOS binaries:	r-release (arm64): garchx_1.3.tgz, r-oldrel (arm64): garchx_1.3.tgz, r-release (x86_64): garchx_1.3.tgz, r-oldrel (x86_64): garchx_1.3.tgz
Old sources:	garchx archive

Reverse dependencies:

Reverse depends:

tvgarch

Linking:

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