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.
| Version: | 1.6 |
| Depends: | R (≥ 3.4.0), methods, zoo |
| Suggests: | tvgarch, lgarch |
| Published: | 2025-07-09 |
| Author: | Genaro Sucarrat 
[aut, cre] |
| Maintainer: | Genaro Sucarrat <gsucarrat at gmail.com> |
| BugReports: | https://github.com/gsucarrat/garchx/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://www.sucarrat.net/ |
| NeedsCompilation: | yes |
| Materials: | NEWS |
| In views: | Finance |
| CRAN checks: | garchx results |
Documentation:
| Reference manual: | garchx.pdf |
Downloads:
| Package source: | garchx_1.6.tar.gz |
| Windows binaries: | r-devel: garchx_1.5.zip, r-release: garchx_1.5.zip, r-oldrel: garchx_1.5.zip |
| macOS binaries: | r-release (arm64): garchx_1.5.tgz, r-oldrel (arm64): garchx_1.5.tgz, r-release (x86_64): garchx_1.5.tgz, r-oldrel (x86_64): garchx_1.5.tgz |
| Old sources: | garchx archive |
Reverse dependencies:
| Reverse depends: | tvgarch |
Linking:
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