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GARCH.X (version 1.0)

Estimation and Exogenous Covariate Selection for GARCH-X Models

Description

Estimates the parameters of a GARCH-X model with exogenous covariates, performs hypothesis tests for the parameters returning the p-values, and uses False Discovery Rate p-value corrections to select the exogenous variables.

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Version

Install

install.packages('GARCH.X')

Monthly Downloads

117

Version

1.0

License

GPL (>= 2)

Maintainer

Adriano Zambom

Last Published

June 17th, 2025

Functions in GARCH.X (1.0)

AIC

AIC for GARCHX model
BIC

BIC for GARCHX model
simulate

Simulate GARCHX model
GARCHX_select

Variable selection for exogenous covariates in GARCHX models
GARCHX

Fitting GARCHX model for variable selection
predict

Predict GARCHX future time series values