GARCH.X

MaRDI QIDQ7374644CRANFDO

Authors Adriano Zanin Zambom, Vincent Alegrete, Elijah Sagaran, Avni Israni

Last update 20 July 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.0, 2.0, PACKAGES.rds, 3.0

Description

Estimates the parameters and nonparametric functions of an ARCH-m(X) model with exogenous covariates, estimates the parameters and nonparametric functions of an Additive ARCH-m(X) model with exogenous covariates, estimates the parameters of a GARCH-X model with exogenous covariates, performs hypothesis tests for the covariates returning the p-values, and performs stepwise variable selection on the exogenous covariates, and uses False Discovery Rate p-value corrections to select the exogenous variables.

This page was built for software: GARCH.X