garchmodels: The 'Tidymodels' Extension for GARCH Models

Garch framework for use with the 'tidymodels' ecosystem. It includes both univariate and multivariate methods from the 'rugarch' and 'rmgarch' packages. These models include DCC-Garch, Copula Garch and Go-GARCH among others.

Package details

AuthorAlberto Almuiña [aut, cre]
MaintainerAlberto Almuiña <>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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garchmodels documentation built on April 13, 2021, 1:05 a.m.