rugarch

Last update 20 September 2023

Copyright license GNU General Public License, version 3.0

Software version identifier 1.4-9, 1.0-1, 1.0-2, 1.0-3, 1.0-4, 1.0-5, 1.0-7, 1.0-8, 1.0-9, 1.0-10, 1.0-11, 1.0-12, 1.0-14, 1.0-16, 1.0, 1.02, 1.2-2, 1.2-6, 1.2-7, 1.2-9, 1.3-1, 1.3-3, 1.3-4, 1.3-6, 1.3-8, 1.4-0, 1.4-1, 1.4-2, 1.4-4, 1.4-6, 1.4-7, 1.4-8, 1.4-9, 1.5-1

Description

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

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