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tsmarch: Multivariate ARCH Models
Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.
Getting started
Browse package contents
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 | 1.0.0 |
| URL | https://github.com/tsmodels/tsmarch https://www.nopredict.com |
| Package repository | View on CRAN |
| Installation |
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