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Estimates the time-varying (tv) parameters of the GARCH(1,1) model, enabling the modeling of non-stationary volatilities by allowing the model parameters to change gradually over time. The estimation and prediction processes are facilitated through the application of the Kalman filter and state-space equations. This package supports the estimation of tv parameters for various deterministic functions, which can be identified through exploratory analysis of different time periods or segments of return data. The methodology is grounded in the framework presented by Ferreira et al. (2017) <doi:10.1080/00949655.2017.1334778>.
| Version: | 0.0.1 |
| Depends: | R (≥ 3.5.0) |
| Imports: | stats, fGarch, graphics |
| LinkingTo: | Rcpp |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2025-05-30 |
| DOI: | 10.32614/CRAN.package.tvGarchKF |
| Author: | Guillermo Ferreira [aut], Tomás Arancibia [aut, cre] |
| Maintainer: | Tomás Arancibia <tarancibia2016 at udec.cl> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | yes |
| Citation: | tvGarchKF citation info |
| CRAN checks: | tvGarchKF results |
| Reference manual: | tvGarchKF.pdf |
| Package source: | tvGarchKF_0.0.1.tar.gz |
| Windows binaries: | r-devel: tvGarchKF_0.0.1.zip, r-release: tvGarchKF_0.0.1.zip, r-oldrel: tvGarchKF_0.0.1.zip |
| macOS binaries: | r-release (arm64): tvGarchKF_0.0.1.tgz, r-oldrel (arm64): tvGarchKF_0.0.1.tgz, r-release (x86_64): tvGarchKF_0.0.1.tgz, r-oldrel (x86_64): tvGarchKF_0.0.1.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.