garchx (Q71674)
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Flexible and Robust GARCH-X Modelling
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | garchx |
Flexible and Robust GARCH-X Modelling |
Statements
expanded from: GPL (≥ 2) (English)
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30 June 2026
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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.
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