Package: garchx
Type: Package
Title: Flexible and Robust GARCH-X Modelling
Version: 1.1
Date: 2020-05-10
Author: Genaro Sucarrat [aut, cre]
Maintainer: Genaro Sucarrat <gsucarrat@gmail.com>
Description: Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates based on the results by Francq and Thieu (2018) <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.
License: GPL (>= 2)
Depends: R (>= 3.4.0), zoo
BugReports: https://github.com/gsucarrat/garchx/issues
URL: https://CRAN.R-project.org/package=garchx,
        http://www.sucarrat.net/
NeedsCompilation: yes
Packaged: 2020-05-10 12:46:47 UTC; sucarrat
Repository: CRAN
Date/Publication: 2020-05-10 14:00:03 UTC
Built: R 4.0.2; x86_64-w64-mingw32; 2020-08-02 09:25:24 UTC; windows
Archs: i386, x64
