garchxObjective

garchxRecursion

Auxiliary functions used in estimation. Not intended for the average user

time series

Statistical Models

Econometrics

Financial Econometrics

Flexible and robust estimation and inference of Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2019) <doi:10.1017/S0266466617000512>. Coefficients can straightforwardly be set to zero by omission, and quasi maximum likelihood methods ensure estimates are generally consistent and inference valid, even when the standardised innovations are non-normal and/or dependent over time. See <doi:10.32614/RJ-2021-057> for an overview of the package.

Genaro Sucarrat

garchx

Flexible and Robust GARCH-X Modelling

garchxObjective function

<dl> <dt>pars</dt>
<dd>numeric vector of parameters</dd> <dt>aux</dt>
<dd><code><a href="/link/list?package=garchx&version=1.6" data-mini-rdoc="garchx::list">list</a></code> created by <code>garchx</code></dd></dl>

Arguments

Genaro Sucarrat, <a href="https://www.sucarrat.net/">https://www.sucarrat.net/</a>

Author

Auxiliary functions — garchxObjective

<dl>

 <dt>pars</dt>
<dd>numeric vector of parameters</dd>

 <dt>aux</dt>
<dd><code><a href='https://rdrr.io/r/base/list.html'>list</a></code> created by <code>garchx</code></dd>

</dl>

Genaro Sucarrat, <a href='https://www.sucarrat.net/'>https://www.sucarrat.net/</a>

garchxObjective: Auxiliary functions

Description

Usage

Value

Arguments

Author

See Also