Other packages > Find by keyword >

tvgarch  

Time Varying GARCH Modelling
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("tvgarch", "2.4.2")



Attach the package and use:
library("tvgarch")
Maintained by
Susana Campos-Martins
[Scholar Profile | Author Map]
First Published: 2021-02-05
Latest Update: 2023-03-08
Description:
Simulation, estimation and inference for univariate and multivariate TV(s)-GARCH(p,q,r)-X models, where s indicates the number and shape of the transition functions, p is the ARCH order, q is the GARCH order, r is the asymmetry order, and 'X' indicates that covariates can be included; see Campos-Martins and Sucarrat (2024) <doi:10.18637/jss.v108.i09>. In the multivariate case, variances are estimated equation by equation and dynamic conditional correlations are allowed. The TV long-term component of the variance as in the multiplicative TV-GARCH model of Amado and Terasvirta (2013) <doi:10.1016/j.jeconom.2013.03.006> introduces non-stationarity whereas the GARCH-X short-term component describes conditional heteroscedasticity. Maximisation by parts leads to consistent and asymptotically normal estimates.
How to cite:
Susana Campos-Martins (2021). tvgarch: Time Varying GARCH Modelling. R package version 2.4.2, https://cran.r-project.org/web/packages/tvgarch. Accessed 14 May. 2025.
Previous versions and publish date:
1.0 (2021-02-05 10:00), 2.0 (2021-04-16 17:50), 2.1 (2021-09-02 08:20), 2.2 (2021-12-21 11:30), 2.3 (2023-01-28 10:50), 2.4.1 (2023-10-01 11:40), 2.4 (2023-03-08 12:10)
Other packages that cited tvgarch R package
View tvgarch citation profile
Other R packages that tvgarch depends, imports, suggests or enhances
Complete documentation for tvgarch
Downloads during the last 30 days
04/1404/1504/1604/1704/1804/1904/2004/2104/2204/2304/2404/2504/2604/2704/2804/2904/3005/0205/0305/0405/0505/0605/0705/0805/0905/1005/1105/12Downloads for tvgarch0246810121416TrendBars

Today's Hot Picks in Authors and Packages

r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
pso  
Particle Swarm Optimization
Provides an implementation of particle swarm optimisation consistent with the standard PSO 2007/2011 ...
Download / Learn more Package Citations See dependency  
codexcopd  
The CODEX (Comorbidity, Obstruction, Dyspnea, and Previous Severe Exacerbations) Index: Short and Medium-Term Prognosis in Patients Hospitalized for Chronic Obstructive Pulmonary Disease (COPD) Exacerbations
Predicts 3 to 12 months prognosis in Chronic Obstructive Pulmonary Disease (COPD) patients hospitali ...
Download / Learn more Package Citations See dependency  
JMbayes2  
Extended Joint Models for Longitudinal and Time-to-Event Data
Fit joint models for longitudinal and time-to-event data under the Bayesian approach. Multiple longi ...
Download / Learn more Package Citations See dependency  
UncDecomp  
Uncertainty Decomposition
If a procedure consists of several stages and there are several models that can be selected for each ...
Download / Learn more Package Citations See dependency  
IPEC  
Root Mean Square Curvature Calculation
Calculates the RMS intrinsic and parameter-effects curvatures of a nonlinear regression model. The c ...
Download / Learn more Package Citations See dependency  

24,223

R Packages

207,311

Dependencies

65,402

Author Associations

24,224

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA