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:
tvgarch_2.4.2.tar.gz
tvgarch_2.4.2.zip(r-4.5)tvgarch_2.4.2.zip(r-4.4)tvgarch_2.4.2.zip(r-4.3)
tvgarch_2.4.2.tgz(r-4.4-any)tvgarch_2.4.2.tgz(r-4.3-any)
tvgarch_2.4.2.tar.gz(r-4.5-noble)tvgarch_2.4.2.tar.gz(r-4.4-noble)
tvgarch_2.4.2.tgz(r-4.4-emscripten)tvgarch_2.4.2.tgz(r-4.3-emscripten)
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')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 7 months agofrom:f51511ee4e. Checks:OK: 5 NOTE: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 10 2024 |
| R-4.5-win | NOTE | Oct 10 2024 |
| R-4.5-linux | NOTE | Oct 10 2024 |
| R-4.4-win | OK | Oct 10 2024 |
| R-4.4-mac | OK | Oct 10 2024 |
| R-4.3-win | OK | Oct 10 2024 |
| R-4.3-mac | OK | Oct 10 2024 |
Exports:combinationscombosgarchObjmtvgarchmtvgarchSimtvtvgarchtvgarchObjtvgarchSimtvgarchTesttvObj
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Time Varying GARCH Modelling | tvgarch-package |
| Extraction functions for multivariate 'mtvgarch' objects | coef.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' objects | coef.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' objects | coef.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 functions | dccObj |
| Estimate a multivariate TV-GARCH-X model | mtvgarch |
| Simulate from a multivariate TV-GARCH-X model | mtvgarchSim |
| Estimate a TV-GARCH-X model | tvgarch |
| Auxiliary functions | garchObj tv tvgarchObj tvObj |
| Simulate from a univariate TV-GARCH-X model | tvgarchSim |
| Test of a multiplicative time-varying GARCH model | tvgarchTest |
