Package: tvgarch 2.4.2

tvgarch: Time Varying GARCH Modelling

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.

Authors:Susana Campos-Martins [aut, cre], Genaro Sucarrat [ctb]

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tvgarch.pdf |tvgarch.html
tvgarch/json (API)
NEWS

# Install 'tvgarch' in R:
install.packages('tvgarch', repos = c('https://scmartins.r-universe.dev', 'https://cloud.r-project.org'))

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On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 1 stars 232 downloads 11 exports 4 dependencies

Last updated 8 months agofrom:f51511ee4e. Checks:OK: 5 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 09 2024
R-4.5-winNOTENov 09 2024
R-4.5-linuxNOTENov 09 2024
R-4.4-winOKNov 09 2024
R-4.4-macOKNov 09 2024
R-4.3-winOKNov 09 2024
R-4.3-macOKNov 09 2024

Exports:combinationscombosgarchObjmtvgarchmtvgarchSimtvtvgarchtvgarchObjtvgarchSimtvgarchTesttvObj

Dependencies:garchxlatticenumDerivzoo

Readme and manuals

Help Manual

Help pageTopics
Time Varying GARCH Modellingtvgarch-package
Extraction functions for multivariate 'mtvgarch' objectscoef.mtvgarch fitted.mtvgarch logLik.mtvgarch nobs.mtvgarch plot.mtvgarch predict.mtvgarch print.mtvgarch quantile.mtvgarch residuals.mtvgarch summary.mtvgarch toLatex.mtvgarch vcov.mtvgarch
Extraction functions (S3 methods) for univarate 'tvgarch' objectscoef.tvgarch fitted.tvgarch logLik.tvgarch nobs.tvgarch plot.tvgarch predict.tvgarch print.tvgarch quantile.tvgarch residuals.tvgarch summary.tvgarch toLatex.tvgarch vcov.tvgarch
Extraction functions for univarate 'tvgarchTest' objectscoef.tvgarchTest fitted.tvgarchTest logLik.tvgarchTest nobs.tvgarchTest plot.tvgarchTest predict.tvgarchTest print.tvgarchTest quantile.tvgarchTest residuals.tvgarchTest summary.tvgarchTest toLatex.tvgarchTest vcov.tvgarchTest
Compute all combinations of a hierarchy of models of n variables, and enumerate the combinations of the elements of a vector.combinations combos
Auxiliary functionsdccObj
Estimate a multivariate TV-GARCH-X modelmtvgarch
Simulate from a multivariate TV-GARCH-X modelmtvgarchSim
Estimate a TV-GARCH-X modeltvgarch
Auxiliary functionsgarchObj tv tvgarchObj tvObj
Simulate from a univariate TV-GARCH-X modeltvgarchSim
Test of a multiplicative time-varying GARCH modeltvgarchTest