Package: tvgarch
Type: Package
Title: Time Varying GARCH Modelling
Version: 2.4.2
Date: 2024-04-03
Author: Susana Campos-Martins [aut, cre], Genaro Sucarrat [ctb]
Maintainer: Susana Campos-Martins <scmartins@ucp.pt>
Description: Simulation, estimation and inference for univariate and multivariate TV(s)-GARCH(p,q,r)-X models, where s indicates the number and shape of the transition functions, p is the ARCH order, q is the GARCH order, r is the asymmetry order, and 'X' indicates that covariates can be included; see Campos-Martins and Sucarrat (2024) <doi:10.18637/jss.v108.i09>. In the multivariate case, variances are estimated equation by equation and dynamic conditional correlations are allowed. The TV long-term component of the variance as in the multiplicative TV-GARCH model of Amado and Terasvirta (2013) <doi:10.1016/j.jeconom.2013.03.006> introduces non-stationarity whereas the GARCH-X short-term component describes conditional heteroscedasticity. Maximisation by parts leads to consistent and asymptotically normal estimates.
License: GPL (>= 2)
Depends: R (>= 3.5.0), garchx, zoo, numDeriv
URL: https://sites.google.com/site/susanacamposmartins
NeedsCompilation: no
Packaged: 2024-04-03 09:53:09 UTC; susanacamposmartins
Repository: CRAN
Date/Publication: 2024-04-04 23:30:02 UTC
Built: R 4.3.3; ; 2025-01-24 13:31:51 UTC; unix
