Univariate GARCH Models

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.


Reference manual

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install.packages("tsgarch")

1.0.5 by Alexios Galanos, 6 days ago


https://github.com/tsmodels/tsgarch, https://www.nopredict.com


Report a bug at https://github.com/tsmodels/tsgarch/issues


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


Authors: Alexios Galanos [aut, cre, cph] (ORCID:


Documentation:   PDF Manual  


GPL-2 license


Imports TMB, Rcpp, nloptr, Rdpack, numDeriv, xts, zoo, future.apply, future, progressr, flextable, stats, utils, data.table, tsdistributions, lubridate, sandwich

Depends on methods, tsmethods

Suggests knitr, rmarkdown, testthat

Linking to Rcpp, TMB, RcppEigen


Imported by tsmarch.

Suggested by tstests.


See at CRAN