GARCH.X
Estimation and Exogenous Covariate Selection for GARCH-X Models
Estimates the parameters of a GARCH-X model with exogenous covariates, performs hypothesis tests for the parameters returning the p-values, and uses False Discovery Rate p-value corrections to select the exogenous variables.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
2.0 |
rolling source/ R- | GARCH.X_2.0.tar.gz |
35.6 KiB |
2.0 |
rolling linux/jammy R-4.5 | GARCH.X_2.0.tar.gz |
148.7 KiB |
2.0 |
latest source/ R- | GARCH.X_2.0.tar.gz |
35.6 KiB |
2.0 |
latest linux/jammy R-4.5 | GARCH.X_2.0.tar.gz |
148.7 KiB |
2.0 |
2026-04-23 source/ R- | GARCH.X_2.0.tar.gz |
35.6 KiB |
1.0 |
2026-04-09 windows/windows R-4.5 | GARCH.X_1.0.zip |
63.0 KiB |