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spGARCH  

Spatial ARCH and GARCH Models (spGARCH)
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("spGARCH", "0.2.3")



Attach the package and use:
library("spGARCH")
Maintained by
Philipp Otto
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-03-28
Latest Update: 2025-04-09
Description:
A collection of functions to deal with spatial and spatiotemporal autoregressive conditional heteroscedasticity (spatial ARCH and GARCH models) by Otto, Schmid, Garthoff (2018, Spatial Statistics) <doi:10.48550/arXiv.1609.00711>: simulation of spatial ARCH-type processes (spARCH, exponential spARCH, complex spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.
How to cite:
Philipp Otto (2018). spGARCH: Spatial ARCH and GARCH Models (spGARCH). R package version 0.2.3, https://cran.r-project.org/web/packages/spGARCH. Accessed 28 Aug. 2026.
Previous versions and publish date:
(2026-07-09 07:06), 0.1.2 (2018-03-28 10:24), 0.1.3 (2018-03-29 17:55), 0.1.4 (2018-04-19 23:17), 0.1.5 (2018-06-29 08:01), 0.1.6 (2018-08-10 13:20), 0.2.0 (2019-08-25 17:00), 0.2.1 (2020-02-11 11:50), 0.2.2 (2020-09-02 09:10)
Other packages that cited spGARCH R package
View spGARCH citation profile
Other R packages that spGARCH depends, imports, suggests or enhances
Complete documentation for spGARCH
Functions, R codes and Examples using the spGARCH R package
Some associated functions: extractAIC.spARCH . fitted.spARCH . logLik.spARCH . plot.spARCH . prostate_cancer . qml.SARspARCH . qml.spARCH . residuals.spARCH . spARCH_class . spARCHsim . spGARCH . spGARCHsim . summary.spARCH . 
Some associated R codes: Estimation.R . RcppExports.R . Simulations.R . zzz.R .  Full spGARCH package functions and examples
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