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 (2018) . 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.


Reference manual

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1.3 by Genaro Sucarrat, 5 months ago


Report a bug at https://github.com/gsucarrat/garchx/issues

Browse source code at https://github.com/cran/garchx

Authors: Genaro Sucarrat [aut, cre]

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

Depends on zoo

Depended on by tvgarch.

See at CRAN