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 (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

AuthorGenaro Sucarrat [aut, cre] (ORCID: <https://orcid.org/0000-0002-8433-837X>)
MaintainerGenaro Sucarrat <gsucarrat@gmail.com>
LicenseGPL (>= 2)
Version1.6
URL https://www.sucarrat.net/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("garchx")

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garchx documentation built on Aug. 8, 2025, 7:14 p.m.