GARCH.X: Estimation and Exogenous Covariate Selection for ARCH-m(X),
Additive ARCH-m(x), and GARCH-X Models
Estimates the parameters and nonparametric functions of an ARCH-m(X) model with exogenous covariates, estimates the parameters and nonparametric functions of an Additive ARCH-m(X) model with exogenous covariates, estimates the parameters of a GARCH-X model with exogenous covariates, performs hypothesis tests for the covariates returning the p-values, and performs stepwise variable selection on the exogenous covariates, and uses False Discovery Rate p-value corrections to select the exogenous variables.
| Version: |
2.0 |
| Imports: |
stats, methods, nnls, utils, GA, GenSA, pso, KernSmooth |
| Published: |
2026-04-21 |
| DOI: |
10.32614/CRAN.package.GARCH.X |
| Author: |
Adriano Zambom [aut, cre],
Vincent Alegrete [aut],
Elijah Sagaran [aut],
Avni Israni [aut] |
| Maintainer: |
Adriano Zambom <adriano.zambom at csun.edu> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
no |
| CRAN checks: |
GARCH.X results |
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