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Estimates the parameters and nonparametric functions of an ARCH-m(X) model with exogenous covariates, estimates the parameters and nonparametric functions of an Additive ARCH-m(X) model with exogenous covariates, estimates the parameters of a GARCH-X model with exogenous covariates, performs hypothesis tests for the covariates returning the p-values, and performs stepwise variable selection on the exogenous covariates, and uses False Discovery Rate p-value corrections to select the exogenous variables.
| Version: | 2.0 |
| Imports: | stats, methods, nnls, utils, GA, GenSA, pso, KernSmooth |
| Published: | 2026-04-21 |
| DOI: | 10.32614/CRAN.package.GARCH.X |
| Author: | Adriano Zambom [aut, cre], Vincent Alegrete [aut], Elijah Sagaran [aut], Avni Israni [aut] |
| Maintainer: | Adriano Zambom <adriano.zambom at csun.edu> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| CRAN checks: | GARCH.X results |
| Reference manual: | GARCH.X.html , GARCH.X.pdf |
| Package source: | GARCH.X_2.0.tar.gz |
| Windows binaries: | r-release: GARCH.X_2.0.zip, r-oldrel: GARCH.X_2.0.zip |
| macOS binaries: | r-release (arm64): GARCH.X_2.0.tgz, r-oldrel (arm64): GARCH.X_2.0.tgz, r-release (x86_64): GARCH.X_2.0.tgz, r-oldrel (x86_64): GARCH.X_2.0.tgz |
| Old sources: | GARCH.X archive |
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