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tsmarch  

Multivariate ARCH Models
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("tsmarch", "1.0.0")



Attach the package and use:
library("tsmarch")
Maintained by
Alexios Galanos
[Scholar Profile | Author Map]
All associated links for this package
Description:
Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.
How to cite:
Alexios Galanos (). tsmarch: Multivariate ARCH Models. R package version 1.0.0, https://cran.r-project.org/web/packages/tsmarch. Accessed 04 Dec. 2024.
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