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tvgarch: Time Varying GARCH Modelling

Simulation, estimation and inference for univariate and multivariate TV(s)-GARCH(p,q,r)-X models, where s indicates the number and shape of the transition functions, p is the ARCH order, q is the GARCH order, r is the asymmetry order, and 'X' indicates that covariates can be included; see Campos-Martins and Sucarrat (2024) <doi:10.18637/jss.v108.i09>. In the multivariate case, variances are estimated equation by equation and dynamic conditional correlations are allowed. The TV long-term component of the variance as in the multiplicative TV-GARCH model of Amado and Terasvirta (2013) <doi:10.1016/j.jeconom.2013.03.006> introduces non-stationarity whereas the GARCH-X short-term component describes conditional heteroscedasticity. Maximisation by parts leads to consistent and asymptotically normal estimates.

Version: 2.4.2
Depends: R (≥ 3.5.0), garchx, zoo, numDeriv
Published: 2024-04-04
DOI: 10.32614/CRAN.package.tvgarch
Author: Susana Campos-Martins [aut, cre], Genaro Sucarrat [ctb]
Maintainer: Susana Campos-Martins <scmartins at ucp.pt>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://sites.google.com/site/susanacamposmartins
NeedsCompilation: no
Citation: tvgarch citation info
Materials: NEWS
CRAN checks: tvgarch results

Documentation:

Reference manual: tvgarch.pdf

Downloads:

Package source: tvgarch_2.4.2.tar.gz
Windows binaries: r-devel: tvgarch_2.4.2.zip, r-release: tvgarch_2.4.2.zip, r-oldrel: tvgarch_2.4.2.zip
macOS binaries: r-release (arm64): tvgarch_2.4.2.tgz, r-oldrel (arm64): tvgarch_2.4.2.tgz, r-release (x86_64): tvgarch_2.4.2.tgz, r-oldrel (x86_64): tvgarch_2.4.2.tgz
Old sources: tvgarch archive

Reverse dependencies:

Reverse suggests: garchx

Linking:

Please use the canonical form https://CRAN.R-project.org/package=tvgarch to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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