Package: garchx 1.6
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 (2019) <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 <doi:10.32614/RJ-2021-057> for an overview of the package.
Authors:
garchx_1.6.tar.gz
garchx_1.6.zip(r-4.7)garchx_1.6.zip(r-4.6)garchx_1.6.zip(r-4.5)
garchx_1.6.tgz(r-4.6-x86_64)garchx_1.6.tgz(r-4.6-arm64)garchx_1.6.tgz(r-4.5-x86_64)garchx_1.6.tgz(r-4.5-arm64)
garchx_1.6.tar.gz(r-4.7-arm64)garchx_1.6.tar.gz(r-4.7-x86_64)garchx_1.6.tar.gz(r-4.6-arm64)garchx_1.6.tar.gz(r-4.6-x86_64)
garchx_1.6.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
garchx/json (API)
NEWS
| # Install 'garchx' in R: |
| install.packages('garchx', repos = c('https://gsucarrat.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/gsucarrat/garchx/issues
Last updated from:ce43f6c1ab. Checks:13 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 126 | ||
| linux-devel-x86_64 | OK | 104 | ||
| source / vignettes | OK | 141 | ||
| linux-release-arm64 | OK | 103 | ||
| linux-release-x86_64 | OK | 97 | ||
| macos-release-arm64 | OK | 123 | ||
| macos-release-x86_64 | OK | 208 | ||
| macos-oldrel-arm64 | OK | 132 | ||
| macos-oldrel-x86_64 | OK | 233 | ||
| windows-devel | OK | 75 | ||
| windows-release | OK | 65 | ||
| windows-oldrel | OK | 66 | ||
| wasm-release | OK | 87 |
Exports:coef.garchxconfint.garchxfitted.garchxgarchxgarchxAvargarchxObjectivegarchxRecursiongarchxSimgdiffglaglogLik.garchxnobs.garchxpredict.garchxprint.garchxquantile.garchxrefitrefit.garchxresiduals.garchxrmnormtoLatex.garchxttest0vcov.garchxwaldtest0
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Flexible and Robust GARCH-X Modelling | garchx-package |
| Extraction functions for 'garchx' objects | coef.garchx confint.garchx fitted.garchx logLik.garchx nobs.garchx predict.garchx print.garchx quantile.garchx residuals.garchx toLatex.garchx vcov.garchx |
| Estimate a GARCH-X model | garchx |
| Asymptotic Coefficient Covariance | garchxAvar |
| Auxiliary functions | garchxObjective garchxRecursion |
| Simulate from a GARCH-X model | garchxSim |
| Difference a vector or a matrix, with special treatment of 'zoo' objects | gdiff |
| Lag a vector or a matrix, with special treatment of 'zoo' objects | glag |
| Refit a model to new data | refit refit.garchx |
| Random number generation from the multivariate normal distribution | rmnorm |
| T-tests and Wald-tests under nullity | ttest0 waldtest0 |
