tsgarch-package {tsgarch} | R Documentation |
tsgarch: Univariate GARCH Models
Description
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.
Author(s)
Maintainer: Alexios Galanos alexios@4dscape.com (ORCID) [copyright holder]
See Also
Useful links:
[Package tsgarch version 1.0.3 Index]