Abstract The garchx package provides a user-friendly, fast, flexible, and robust framework for the estimation and inference of GARCH(p, q, r)-X models, where p is the ARCH order, q is the GARCH order, r is the asymmetry or leverage order, and ’X’ …
garchx: Flexible and Robust GARCH-X Modelling - The …
garchx: Flexible and Robust GARCH-X Modelling. Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2018) <doi:10.1017/S0266466617000512>.
garchx: Flexible and Robust GARCH-X Modeling - The R Journal
Jun 22, 2021 · The garchx package provides a user-friendly, fast, flexible, and robust framework for the estimation and inference of GARCH (p, q, r)-X models, where p is the ARCH order, q is the GARCH order, r is the asymmetry or leverage order, and ‘X’ …
garchx package - RDocumentation
Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2018) .
garchx function - RDocumentation
Quasi Maximum Likelihood (ML) estimation of a GARCH (q,p,r)-X model, where q is the GARCH order, p is the ARCH order, r is the asymmetry (or leverage) order and 'X' indicates that covariates can be included. Note that the underlying estimation theory assumes the …
Package 'garchx' reference manual
Feb 27, 2025 · Flexible and robust estimation and inference of GARCH (q,p,r)-X models, where q is the GARCH order, p is the ARCH order, r is the asymmetry or leverage order, and 'X' indicates that covariates can be included.
gsucarrat/garchx: Flexible and Robust GARCH-X Modelling - GitHub
The R Package garchx provides a simple, fast, flexible and robust framework for GARCH-X modelling. CRAN webpage: https://CRAN.R-project.org/package=garchx
garchx: Flexible and Robust GARCH-X Modelling - R Package …
Sep 13, 2022 · Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2018) <doi:10.1017/S0266466617000512>.
BI Open: garchx: Flexible and Robust GARCH-X Modeling
The garchx package provides a user-friendly, fast, flexible, and robust framework for the estimation and inference of GARCH (p, q, r)-X models, where p is the ARCH order, q is the GARCH order, r is the asymmetry or leverage order, and ’X’ …
Flexible and robust estimation and inference of GARCH(q,p,r)-X models, where q is the GARCH order, p is the ARCH order, r is the asymmetry or leverage order, and ’X’ indicates that covariates can be included.