Package: garchx
Type: Package
Title: Flexible and Robust GARCH-X Modelling
Version: 1.0
Date: 2020-04-7
Author: Genaro Sucarrat [aut, cre]
Maintainer: Genaro Sucarrat <gsucarrat@gmail.com>
Description: Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates based on the results by Francq and Thieu (2018) <doi:10.1017/S0266466617000512>. Suitable subsets of the coefficients can be restricted to zero during estimation, and quasi maximum likelihood methods ensure estimates are generally consistent, even when the standardised innovations are non-normal and/or not independent and identically distributed.
License: GPL (>= 2)
Depends: R (>= 3.4.0), zoo
NeedsCompilation: no
Packaged: 2020-04-08 09:18:44 UTC; sucarrat
Repository: CRAN
Date/Publication: 2020-04-08 09:50:02 UTC
