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Estimates the parameters of a GARCH-X model with exogenous covariates, performs hypothesis tests for the parameters returning the p-values, and uses False Discovery Rate p-value corrections to select the exogenous variables.
| Version: | 1.0 |
| Imports: | GA, GenSA, pso, stats |
| Published: | 2025-06-17 |
| DOI: | 10.32614/CRAN.package.GARCH.X |
| Author: | Adriano Zambom [aut, cre], Elijah Sagaran [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.pdf |
| Package source: | GARCH.X_1.0.tar.gz |
| Windows binaries: | r-devel: GARCH.X_1.0.zip, r-release: GARCH.X_1.0.zip, r-oldrel: GARCH.X_1.0.zip |
| macOS binaries: | r-release (arm64): GARCH.X_1.0.tgz, r-oldrel (arm64): GARCH.X_1.0.tgz, r-release (x86_64): GARCH.X_1.0.tgz, r-oldrel (x86_64): GARCH.X_1.0.tgz |
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These binaries (installable software) and packages are in development.
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