tvgarch (Q71678)

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Time Varying GARCH Modelling
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tvgarch
Time Varying GARCH Modelling

    Statements

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    2.4
    8 March 2023
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    1.0
    5 February 2021
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    2.0
    16 April 2021
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    2.1
    2 September 2021
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    2.2
    21 December 2021
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    2.3
    28 January 2023
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    2.4.1
    1 October 2023
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    1 October 2023
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    Simulation, estimation and inference for univariate and multivariate TV(s)-GARCH(p,q,r)-X models, where s indicates the number and shape of the transition functions, p is the ARCH order, q is the GARCH order, r is the asymmetry order, and 'X' indicates that covariates can be included. In the multivariate case, variances are estimated equation by equation and dynamic conditional correlations are allowed. The TV long-term component of the variance as in the multiplicative TV-GARCH model of Amado and Ter{\"a}svirta (2013) <doi:10.1016/j.jeconom.2013.03.006> introduces non-stationarity whereas the GARCH-X short-term component describes conditional heteroscedasticity. Maximisation by parts leads to consistent and asymptotically normal estimates.
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