tsgarch

tsgarch-package

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

internal

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

Alexios Ghalanos

Univariate GARCH Models

Alexios Galanos

tsgarch-package function

Maintainer: Alexios Galanos <a href="/link/alexios%404dscape.com?package=tsgarch&version=1.0.3" data-mini-rdoc="tsgarch::alexios@4dscape.com">alexios@4dscape.com</a> (<a href="https://orcid.org/0009-0000-9308-0457">ORCID</a>) [copyright holder]

Author

tsgarch: Univariate GARCH Models — tsgarch-package

Maintainer: Alexios Galanos <a href='mailto:alexios@4dscape.com'>alexios@4dscape.com</a> (<a href='https://orcid.org/0009-0000-9308-0457'>ORCID</a>) [copyright holder]

tsgarch-package: tsgarch: Univariate GARCH Models

Description

Arguments

Author

See Also