tsgarch: Univariate GARCH Models

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

Package details

AuthorAlexios Galanos [aut, cre, cph] (<https://orcid.org/0009-0000-9308-0457>)
MaintainerAlexios Galanos <alexios@4dscape.com>
LicenseGPL-2
Version1.0.3
URL https://github.com/tsmodels/tsgarch
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("tsgarch")

Try the tsgarch package in your browser

Any scripts or data that you put into this service are public.

tsgarch documentation built on Oct. 12, 2024, 1:07 a.m.