Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.
Version: 1.0.0 Depends: R (≥ 3.5.0), methods, tsmethods (≥ 1.0.2) Imports: Rcpp, RcppParallel, tsgarch (≥ 1.0.3), tsdistributions (≥ 1.0.2), RcppBessel, Rsolnp, nloptr, numDeriv, abind, shape, Rdpack, xts, zoo, lubridate, sandwich, future.apply, future, stats, utils, data.table LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo, RcppParallel, RcppBessel Suggests: knitr, rmarkdown, testthat (≥ 3.0.0), tstests Published: 2024-11-18 DOI: 10.32614/CRAN.package.tsmarch Author: Alexios Galanos [aut, cre, cph] Maintainer: Alexios Galanos <alexios at 4dscape.com> BugReports: https://github.com/tsmodels/tsmarch/issues License: GPL-2 URL: https://github.com/tsmodels/tsmarch, https://www.nopredict.com NeedsCompilation: yes SystemRequirements: GNU make In views: TimeSeries CRAN checks: tsmarch resultsRetroSearch is an open source project built by @garambo | Open a GitHub Issue
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