tsmarch
Multivariate ARCH Models
Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.0 |
rolling linux/jammy R-4.5 | tsmarch_1.0.0.tar.gz |
2.7 MiB |
1.0.0 |
rolling linux/noble R-4.5 | tsmarch_1.0.0.tar.gz |
2.7 MiB |
1.0.0 |
rolling source/ R- | tsmarch_1.0.0.tar.gz |
2.2 MiB |
1.0.0 |
latest linux/jammy R-4.5 | tsmarch_1.0.0.tar.gz |
2.7 MiB |
1.0.0 |
latest linux/noble R-4.5 | tsmarch_1.0.0.tar.gz |
2.7 MiB |
1.0.0 |
latest source/ R- | tsmarch_1.0.0.tar.gz |
2.2 MiB |
1.0.0 |
2026-04-26 source/ R- | tsmarch_1.0.0.tar.gz |
2.2 MiB |
1.0.0 |
2026-04-23 source/ R- | tsmarch_1.0.0.tar.gz |
2.2 MiB |
1.0.0 |
2026-04-09 windows/windows R-4.5 | tsmarch_1.0.0.zip |
3.0 MiB |
1.0.0 |
2025-04-20 source/ R- | tsmarch_1.0.0.tar.gz |
2.2 MiB |