tsmarch

Multivariate ARCH Models

CRAN Package

Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) doi:10.1016/bs.host.2019.01.001.

  • Version1.0.0
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?Yes
  • Last release11/18/2024

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  • Depends1 package
  • Imports18 packages
  • Suggests4 packages
  • Linking To4 packages