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      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.
| Package details | |
|---|---|
| Author | Genaro Sucarrat [aut, cre] (ORCID: <https://orcid.org/0000-0002-8433-837X>) | 
| Maintainer | Genaro Sucarrat <gsucarrat@gmail.com> | 
| License | GPL (>= 2) | 
| Version | 1.6 | 
| URL | https://www.sucarrat.net/ | 
| Package repository | View on CRAN | 
| Installation | Install the latest version of this package by entering the following in R:  | 
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