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garchx  

Flexible and Robust GARCH-X Modelling
View on CRAN: Click here


Download and install garchx package within the R console
Install from CRAN:
install.packages("garchx")

Install from Github:
library("remotes")
install_github("cran/garchx")

Install by package version:
library("remotes")
install_version("garchx", "1.5")



Attach the package and use:
library("garchx")
Maintained by
Genaro Sucarrat
[Scholar Profile | Author Map]
First Published: 2020-04-08
Latest Update: 2022-09-13
Description:
Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2018) . 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 for an overview of the package.
How to cite:
Genaro Sucarrat (2020). garchx: Flexible and Robust GARCH-X Modelling. R package version 1.5, https://cran.r-project.org/web/packages/garchx. Accessed 20 Feb. 2025.
Previous versions and publish date:
1.0 (2020-04-08 11:50), 1.1 (2020-05-10 16:00), 1.2 (2021-01-23 18:00), 1.3 (2021-07-15 16:10)
Other packages that cited garchx R package
View garchx citation profile
Other R packages that garchx depends, imports, suggests or enhances
Complete documentation for garchx
Functions, R codes and Examples using the garchx R package
Some associated functions: coef.garchx . garchx-package . garchx . garchxAvar . garchxObjective . garchxSim . gdiff . glag . refit . rmnorm . ttest0 . 
Some associated R codes: garchx-internal.R . garchx-source-code.R .  Full garchx package functions and examples
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