tsmarch: Multivariate ARCH Models
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 results |
Documentation:
| Reference manual: | tsmarch.html ,tsmarch.pdf |
| Vignettes: | Feasible Multivariate GARCH Models (source,R code) tsmarch demo (source,R code) |
Downloads:
| Package source: | tsmarch_1.0.0.tar.gz |
| Windows binaries: | r-devel:tsmarch_1.0.0.zip, r-release:tsmarch_1.0.0.zip, r-oldrel:tsmarch_1.0.0.zip |
| macOS binaries: | r-release (arm64):tsmarch_1.0.0.tgz, r-oldrel (arm64):tsmarch_1.0.0.tgz, r-release (x86_64):tsmarch_1.0.0.tgz, r-oldrel (x86_64):tsmarch_1.0.0.tgz |
Linking:
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