garchx

The R Package garchx provides a simple, fast, flexible and robust framework for GARCH-X modelling. CRAN webpage: https://CRAN.R-project.org/package=garchx

Installation

The following R command installs the stable version from CRAN:

install.packages('garchx', dependencies = TRUE)

To install the current development version available here at Github, use the following command:

install.packages(
  "https://github.com/gsucarrat/garchx/raw/master/garchx_devel.tar.gz",
  repos = NULL, type = "source"
)

Resources

• CRAN webpage: https://CRAN.R-project.org/package=garchx
• garchx: Flexible and Robust GARCH-X Modelling (article in The R Journal)

License

This package is free and open source software, licensed under GPL (>= 2)