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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 |
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Author | Alexios Galanos [aut, cre, cph] (<https://orcid.org/0009-0000-9308-0457>) |
Maintainer | Alexios Galanos <alexios@4dscape.com> |
License | GPL-2 |
Version | 1.0.3 |
URL | https://github.com/tsmodels/tsgarch |
Package repository | View on CRAN |
Installation |
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