tsmarch-package {tsmarch} | R Documentation |
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.
Maintainer: Alexios Galanos alexios@4dscape.com (ORCID) [copyright holder]
Useful links:
Report bugs at https://github.com/tsmodels/tsmarch/issues