garchx
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 (2019) <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 <doi:10.32614/RJ-2021-057> for an overview of the package.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.6 |
rolling source/ R- | garchx_1.6.tar.gz |
21.8 KiB |
1.6 |
rolling linux/jammy R-4.5 | garchx_1.6.tar.gz |
118.8 KiB |
1.6 |
latest source/ R- | garchx_1.6.tar.gz |
21.8 KiB |
1.6 |
latest linux/jammy R-4.5 | garchx_1.6.tar.gz |
118.8 KiB |
1.6 |
2026-04-23 source/ R- | garchx_1.6.tar.gz |
21.8 KiB |
1.6 |
2026-04-09 windows/windows R-4.5 | garchx_1.6.zip |
124.8 KiB |
1.5 |
2025-04-20 source/ R- | garchx_1.5.tar.gz |
20.3 KiB |