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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 Sucarrat (2021) <doi:10.32614/RJ-2021-057> for an overview of the package.
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Package details |
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| Author | Genaro Sucarrat [aut, cre] (ORCID: <https://orcid.org/0000-0002-8433-837X>) |
| Maintainer | Genaro Sucarrat <gsucarrat@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.7 |
| URL | https://www.sucarrat.net/ |
| Package repository | View on CRAN |
| Installation |
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