Package: GARCH.X 2.0
Adriano Zambom
GARCH.X: Estimation and Exogenous Covariate Selection for ARCH-m(X), Additive ARCH-m(x), and GARCH-X Models
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.
Authors:
GARCH.X_2.0.tar.gz
GARCH.X_2.0.tar.gz(r-4.7-any)GARCH.X_2.0.tar.gz(r-4.6-any)
GARCH.X_2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
GARCH.X/json (API)
| # Install 'GARCH.X' in R: |
| install.packages('GARCH.X', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:044d8fd21d. Checks:4 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 109 | ||
| source / vignettes | OK | 168 | ||
| linux-release-x86_64 | OK | 113 | ||
| wasm-release | OK | 98 |
Exports:ARCHmXARCHmXAdditiveGARCHXsim.ARCHmXsim.ARCHmXAdditivesim.GARCHXstepwise
Dependencies:clicodetoolscrayonforeachGAGenSAiteratorsKernSmoothnnlspsoRcppRcppArmadillo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Fitting an ARCH-m(X) model | ARCHmX |
| Creating and fitting an Additive ARCH-m(X) model for variable selection | ARCHmXAdditive |
| Fitting a GARCH-X model | GARCHX |
| Simulating data from an ARCH-m(X) process | sim.ARCHmX |
| Simulate data from an ARCHmXAdditive model | sim.ARCHmXAdditive |
| Simulate GARCHX model | sim.GARCHX |
| Performing Stepwise Variable Selection for an ARCH-m(X) or GARCHX Process | stepwise |