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:
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')) |
Bug tracker:https://github.com/gsucarrat/garchx/issues
Last updated 2 years agofrom:303ff3103c. Checks:4 OK, 5 NOTE. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Dec 24 2024 |
| R-4.5-win-x86_64 | NOTE | Dec 24 2024 |
| R-4.5-linux-x86_64 | NOTE | Dec 24 2024 |
| R-4.4-win-x86_64 | NOTE | Dec 24 2024 |
| R-4.4-mac-x86_64 | NOTE | Dec 24 2024 |
| R-4.4-mac-aarch64 | NOTE | Dec 24 2024 |
| R-4.3-win-x86_64 | OK | Dec 24 2024 |
| R-4.3-mac-x86_64 | OK | Dec 24 2024 |
| R-4.3-mac-aarch64 | OK | Dec 24 2024 |
Exports:coef.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 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 |
