| Name : R-tvgarch
| |
| Version : 2.4.2
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.2.2
| Date : 2024-06-14 11:39:43
|
| Group : Development/Libraries/Other
| Source RPM : R-tvgarch-2.4.2-lp153.2.2.src.rpm
|
| Size : 0.25 MB
| |
| Packager : (none)
| |
| Summary : Time Varying GARCH Modelling
|
Description :
Simulation, estimation and inference for univariate and multivariate
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; see Campos-Martins and Sucarrat (2024)
< doi:10.18637/jss.v108.i09>. In the multivariate case, variances are
estimated equation by equation and dynamic conditional correlations are
allowed. The TV long-term component of the variance as in the
multiplicative TV-GARCH model of Amado and Terasvirta (2013)
< doi:10.1016/j.jeconom.2013.03.006> introduces non-stationarity whereas
the GARCH-X short-term component describes conditional
heteroscedasticity. Maximisation by parts leads to consistent and
asymptotically normal estimates.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
