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tsgarch  

Univariate GARCH Models
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("tsgarch", "1.0.3")



Attach the package and use:
library("tsgarch")
Maintained by
Alexios Galanos
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2024-04-24
Latest Update: 2024-10-12
Description:
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.
How to cite:
Alexios Galanos (2024). tsgarch: Univariate GARCH Models. R package version 1.0.3, https://cran.r-project.org/web/packages/tsgarch. Accessed 04 Jun. 2026.
Previous versions and publish date:
1.0.0 (2024-04-24 16:30), 1.0.2 (2024-05-08 14:50), 1.0.3 (2024-10-12 02:50)
Other packages that cited tsgarch R package
View tsgarch citation profile
Other R packages that tsgarch depends, imports, suggests or enhances
Complete documentation for tsgarch
Functions, R codes and Examples using the tsgarch R package
Full tsgarch package functions and examples
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