tsmarch-package {tsmarch}R Documentation

tsmarch: Multivariate ARCH Models

Description

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Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) doi:10.1016/bs.host.2019.01.001.

Author(s)

Maintainer: Alexios Galanos alexios@4dscape.com (ORCID) [copyright holder]

See Also

Useful links:


[Package tsmarch version 1.0.0 Index]