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tvgarch
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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
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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 31 Jan. 2025.
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Complete documentation for tvgarch
Functions, R codes and Examples using
the tvgarch R package
Some associated functions: coef.mtvgarch . coef.tvgarch . coef.tvgarchTest . combos . dccObj . mtvgarch . mtvgarchSim . tvgarch-package . tvgarch . tvgarchObj . tvgarchSim . tvgarchTest .
Some associated R codes: combos.R . dccObj.R . garchObj.R . mtvgarch-methods.R . mtvgarch.R . mtvgarchSim.R . tv.R . tvObj.R . tvgarch-internal.R . tvgarch-methods.R . tvgarch.R . tvgarchObj.R . tvgarchSim.R . tvgarchTest-methods.R . tvgarchTest.R . Full tvgarch package functions and examples
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