garchx-package: Flexible and Robust GARCH-X Modelling

In garchx: Flexible and Robust GARCH-X Modelling

Flexible and Robust GARCH-X Modelling

Description

Flexible and robust estimation and inference of GARCH(q,p,r)-X models, where q is the GARCH order, p is the ARCH order, r is the asymmetry or leverage order, and 'X' indicates that covariates can be included. Suitable subsets of the coefficients can be restriced to zero by omission, and Quasi Maximum Likelihood (QML) methods ensure estimates are generally consistent, even when the standardised innovations are non-normal and/or dependent.

Details

Package:	garchx
Type:	Package
Version:	1.5
Date:	2022-09-13
License:	GPL-2

Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

Maintainer: Genaro Sucarrat

See Also

garchxSim, coef, fitted, logLik, print, residuals, vcov

Examples

##simulate from a garch(1,1):
set.seed(123)
y <- garchxSim(1000)

##estimate garch(1,1) model:
mymod <- garchx(y)
mymod

garchx documentation built on Sept. 13, 2022, 5:06 p.m.