Package: garchx 1.5

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, see <https://journal.r-project.org/archive/2021/RJ-2021-057/RJ-2021-057.pdf> for an overview of the package.

Authors:Genaro Sucarrat [aut, cre]

garchx_1.5.tar.gz
garchx_1.5.zip(r-4.5)garchx_1.5.zip(r-4.4)garchx_1.5.zip(r-4.3)
garchx_1.5.tgz(r-4.4-x86_64)garchx_1.5.tgz(r-4.4-arm64)garchx_1.5.tgz(r-4.3-x86_64)garchx_1.5.tgz(r-4.3-arm64)
garchx_1.5.tar.gz(r-4.5-noble)garchx_1.5.tar.gz(r-4.4-noble)
garchx_1.5.tgz(r-4.4-emscripten)garchx_1.5.tgz(r-4.3-emscripten)
garchx.pdf |garchx.html
garchx/json (API)
NEWS

# Install 'garchx' in R:
install.packages('garchx', repos = c('https://gsucarrat.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/gsucarrat/garchx/issues

On CRAN:

3.48 score 2 stars 1 packages 5 scripts 358 downloads 22 exports 2 dependencies

Last updated 2 years agofrom:303ff3103c. Checks:OK: 4 NOTE: 5. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 25 2024
R-4.5-win-x86_64NOTEOct 25 2024
R-4.5-linux-x86_64NOTEOct 25 2024
R-4.4-win-x86_64NOTEOct 25 2024
R-4.4-mac-x86_64NOTEOct 25 2024
R-4.4-mac-aarch64NOTEOct 25 2024
R-4.3-win-x86_64OKOct 25 2024
R-4.3-mac-x86_64OKOct 25 2024
R-4.3-mac-aarch64OKOct 25 2024

Exports:coef.garchxfitted.garchxgarchxgarchxAvargarchxObjectivegarchxRecursiongarchxSimgdiffglaglogLik.garchxnobs.garchxpredict.garchxprint.garchxquantile.garchxrefitrefit.garchxresiduals.garchxrmnormtoLatex.garchxttest0vcov.garchxwaldtest0

Dependencies:latticezoo