tsgarch

Univariate GARCH Models

CRAN Package

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

  • Version1.0.3
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?Yes
  • Last release10/12/2024

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  • Depends1 package
  • Imports15 packages
  • Suggests3 packages
  • Linking To3 packages
  • Reverse Imports1 package
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