A parsnip backend for
GARCH
models in thetidymodels
framework.
Getting Started with Garchmodels: A walkthrough of the tidy modeling approach with the package.
Tuning Univariate Garch Models: Learn how to tune parameters of univariate garch models.
CRAN version:
install.packages("garchmodels")
Development version:
# install.packages("devtools")
devtools::install_github("AlbertoAlmuinha/garchmodels")
Garchmodels unlocks univariate and multivariate GARCH models in one framework.
In a single framework you will be able to find what you need:
Univariate Methods: garchmodels
connects to the rugarch
package.
Multivariate Methods: garchmodels
connects to the rugarch
and rmgarch
packages. Available methods include DCC-Garch (Dynamic
Conditional Correlation Garch), Copula Garch and GO-Garch models.
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