tsmarch-package: tsmarch: Multivariate ARCH Models
In tsmarch: Multivariate ARCH Models
tsmarch-package R Documentation
tsmarch: Multivariate ARCH Models
Description
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) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/bs.host.2019.01.001")}.
Author(s)
Maintainer: Alexios Galanos alexios@4dscape.com (ORCID) [copyright holder]
See Also
Useful links:
tsmarch documentation built on April 3, 2025, 7:40 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| tsmarch-package | R Documentation |
tsmarch: Multivariate ARCH Models
Description
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) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/bs.host.2019.01.001")}.
Author(s)
Maintainer: Alexios Galanos alexios@4dscape.com (ORCID) [copyright holder]
See Also
Useful links:
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.