garchx: Flexible and Robust GARCH-X Modelling

Genaro Sucarrat

MPRA Paper from University Library of Munich, Germany

Abstract: The R package garchx provides a user-friendly, fast, flexible and robust framework for the estimation and inference of GARCH(p,q,r)-X models, where p is the ARCH order, q is the GARCH order, r is the asymmetry or leverage order, and 'X' indicates that covariates can be included. Quasi Maximum Likelihood (QML) methods ensure estimates are consistent and standard errors valid, even when the standardised innovations are non-normal or dependent, or both. Zero-coefficient restrictions by omission enable parsimonious specifications, and functions to facilitate the non-standard inference associated with zero-restrictions in the null-hypothesis are provided. Finally, in formal comparisons of precision and speed, the garchx package performs well relative to other prominent GARCH-packages on CRAN.

Keywords: Volatility; GARCH; covariates; robust; R (search for similar items in EconPapers)
JEL-codes: C1 C58 C87 (search for similar items in EconPapers)
Date: 2020-05-11
New Economics Papers: this item is included in nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/100301/1/MPRA_paper_100301.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:100301

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().