Spatial ARCH and GARCH Models (spGARCH)

A collection of functions to deal with spatial and spatiotemporal autoregressive conditional heteroscedasticity (spatial ARCH and GARCH models) by Otto, Schmid, Garthoff (2018, Spatial Statistics) : simulation of spatial ARCH-type processes (spARCH, exponential spARCH, complex spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.


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install.packages("spGARCH")

0.1.6 by Philipp Otto, 4 months ago


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


Authors: Philipp Otto [cre, aut]


Documentation:   PDF Manual  


GPL license


Imports Rcpp, stats, truncnorm, Rsolnp, spdep, Matrix

Linking to Rcpp, RcppEigen, Matrix


See at CRAN