GARCH.X (Q7374644)
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Estimation and Exogenous Covariate Selection for ARCH-m(X), Additive ARCH-m(x), and GARCH-X Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | GARCH.X |
Estimation and Exogenous Covariate Selection for ARCH-m(X), Additive ARCH-m(x), and GARCH-X Models |
Statements
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.
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20 July 2026
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Vincent Alegrete
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Elijah Sagaran
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Avni Israni
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expanded from: GPL (≥ 2) (English)
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