garchx

MaRDI QIDQ71674CRANFDO

Authors Genaro Sucarrat

Last update 30 June 2026

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

Software version identifier 1.5, PACKAGES.rds, 1.0, 1.1, 1.2, 1.3, 1.6, 1.7

Description

Flexible and robust estimation and inference of Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2019) <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 Sucarrat (2021) <doi:10.32614/RJ-2021-057> for an overview of the package.

Cites work

• garchx: Flexible and Robust GARCH-X Modeling
• QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES

Cited in

(2)

• tvgarch
• postshock

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