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.
Version: 1.0.3 Depends: R (≥ 3.5.0), methods, tsmethods (≥ 1.0.2) Imports: TMB (≥ 1.7.20), Rcpp, nloptr, Rdpack, numDeriv, xts, zoo, future.apply, future, progressr, flextable, stats, utils, data.table, tsdistributions, lubridate, sandwich LinkingTo: Rcpp (≥ 0.10.6), TMB (≥ 1.7.20), RcppEigen Suggests: knitr, rmarkdown, testthat (≥ 3.0.0) Published: 2024-10-12 DOI: 10.32614/CRAN.package.tsgarch Author: Alexios Galanos [aut, cre, cph] Maintainer: Alexios Galanos <alexios at 4dscape.com> BugReports: https://github.com/tsmodels/tsgarch/issues License: GPL-2 URL: https://github.com/tsmodels/tsgarch NeedsCompilation: yes Materials: NEWS In views: TimeSeries CRAN checks: tsgarch results Documentation: Downloads: Reverse dependencies: Linking:Please use the canonical form https://CRAN.R-project.org/package=tsgarch to link to this page.
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