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.

Estimates the time-varying (tv) parameters of the GARCH(1,1) model, enabling the modeling of non-stationary volatilities by allowing the model parameters to change gradually over time. The estimation and prediction processes are facilitated through the application of the Kalman filter and state-space equations. This package supports the estimation of tv parameters for various deterministic functions, which can be identified through exploratory analysis of different time periods or segments of return data. The methodology is grounded in the framework presented by Ferreira et al. (2017) <doi:10.1080/00949655.2017.1334778>.

Functions for managing cashflows and interest rate curves.

Functions for compounding and discounting calculations included here serve as a complete reference for various scenarios of time value of money.
    Raymond M. Brooks (“Financial Management,” 2018, ISBN: 9780134730417).
    Sheridan Titman, Arthur J. Keown, John D. Martin (“Financial Management: Principles and Applications,” 2017, ISBN: 9780134417219).
    Jonathan Berk, Peter DeMarzo, David Stangeland, Andras Marosi (“Fundamentals of Corporate Finance,” 2019, ISBN: 9780134735313).
    S. A. Hummelbrunner, Kelly Halliday, Ali R. Hassanlou (“Contemporary Business Mathematics with Canadian Applications,” 2020, ISBN: 9780135285015).