Package: garchx
Type: Package
Title: Flexible and Robust GARCH-X Modelling
Version: 1.5
Date: 2022-09-13
Author: Genaro Sucarrat [aut, cre]
Maintainer: Genaro Sucarrat <gsucarrat@gmail.com>
Description: 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) <doi:10.1017/S0266466617000512>. 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 <https://journal.r-project.org/archive/2021/RJ-2021-057/RJ-2021-057.pdf> for an overview of the package.
License: GPL (>= 2)
Depends: R (>= 3.4.0), methods, zoo
Suggests: tvgarch, lgarch
BugReports: https://github.com/gsucarrat/garchx/issues
URL: https://www.sucarrat.net/
NeedsCompilation: yes
Packaged: 2022-09-13 14:01:41 UTC; sucarrat
Repository: CRAN
Date/Publication: 2022-09-13 14:50:05 UTC
Built: R 4.4.1; x86_64-apple-darwin23.2.0; 2024-08-30 09:54:17 UTC; unix
