garchx

Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2018) doi:10.1017/S0266466617000512. Coefficients can straightforwardly be set to zero by omission, and quasi maximum likelihood methods ensure estimates are generally consistent and inference valid, even when the standardised innovations are non-normal and/or dependent over time, see https://journal.r-project.org/archive/2021/RJ-2021-057/RJ-2021-057.pdf for an overview of the package.

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