Package: tvgarch
Type: Package
Title: Time Varying GARCH Modelling
Version: 1.0
Date: 2021-01-28
Author: Susana Campos-Martins [aut, cre], Genaro Sucarrat [ctb]
Maintainer: Susana Campos-Martins <susana.martins@nuffield.ox.ac.uk>
Description: Simulation, estimation and inference for 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. The TV long-term component, as in the multiplicative TV-GARCH model of Amado and Ter\"asvirta (2013) <doi:10.1016/j.jeconom.2013.03.006>, introduces non-stationarity in the variance process, where the GARCH-X short-term component describes conditional heteroscedasticity. Maximisation by parts leads to consistent and asymptotically normal estimates.
License: GPL (>= 2)
Depends: R (>= 3.5.0), garchx, hier.part, matrixStats, numDeriv, zoo
URL: https://sites.google.com/site/susanacamposmartins/
NeedsCompilation: no
Packaged: 2021-01-29 12:05:47 UTC; susanamartins
Repository: CRAN
Date/Publication: 2021-02-05 09:00:02 UTC
