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Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.
| Version: | 1.0.2 |
| Depends: | R (≥ 3.5.0), methods, tsmethods |
| Imports: | TMB (≥ 1.7.20), Rcpp, nloptr, Rdpack, numDeriv, xts, zoo, future.apply, future, progressr, flextable, stats, utils, data.table, tsdistributions, lubridate, sandwich |
| LinkingTo: | Rcpp (≥ 0.10.6), RcppArmadillo, TMB (≥ 1.7.20), RcppEigen |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: | 2024-05-08 |
| Author: | Alexios Galanos [aut, cre, cph] |
| Maintainer: | Alexios Galanos <alexios at 4dscape.com> |
| BugReports: | https://github.com/tsmodels/tsgarch/issues |
| License: | GPL-2 |
| URL: | https://github.com/tsmodels/tsgarch |
| NeedsCompilation: | yes |
| Materials: | NEWS |
| In views: | TimeSeries |
| CRAN checks: | tsgarch results |
| Reference manual: | tsgarch.pdf |
| Vignettes: |
Benchmark Package Demo GARCH Models |
| Package source: | tsgarch_1.0.2.tar.gz |
| Windows binaries: | r-devel: tsgarch_1.0.2.zip, r-release: tsgarch_1.0.0.zip, r-oldrel: tsgarch_1.0.2.zip |
| macOS binaries: | r-release (arm64): tsgarch_1.0.0.tgz, r-oldrel (arm64): tsgarch_1.0.0.tgz, r-release (x86_64): tsgarch_1.0.2.tgz, r-oldrel (x86_64): tsgarch_1.0.2.tgz |
| Old sources: | tsgarch archive |
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