Package: tvgarch
Type: Package
Title: Time Varying GARCH Modelling
Version: 2.4.3
Date: 2025-09-01
Authors@R: c(person(given = "Susana",
                      family = "Campos-Martins",
                      role = c("aut", "cre"),
                      email = "scmartins@ucp.pt"),
               person(given = "Genaro",
                      family = "Sucarrat",
                      role = "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: 2026-10-09 07:54:47 UTC; root
Author: Susana Campos-Martins [aut, cre], Genaro Sucarrat [ctb]
Repository: https://scmartins.r-universe.dev
Date/Publication: 2025-09-01 17:40:02 UTC
RemoteUrl: https://github.com/cran/tvgarch
RemoteRef: HEAD
RemoteSha: 1c406d1cf46d06662dafb3d2b0c18a49d5344f2d