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 |
DOI: | 10.32614/CRAN.package.tsgarch |
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_1.0.2.zip, r-oldrel: tsgarch_1.0.2.zip |
macOS binaries: | r-release (arm64): tsgarch_1.0.2.tgz, r-oldrel (arm64): tsgarch_1.0.2.tgz, r-release (x86_64): tsgarch_1.0.2.tgz, r-oldrel (x86_64): tsgarch_1.0.2.tgz |
Old sources: | tsgarch archive |
Reverse suggests: | tstests |
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