Flexible and Robust GARCH-X Modelling

Flexible and robust estimation and inference of Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2019) . Coefficients can straightforwardly be set to zero by omission, and quasi maximum likelihood methods ensure estimates are generally consistent and inference valid, even when the standardised innovations are non-normal and/or dependent over time. See Sucarrat (2021) for an overview of the package.