• Rugarch

  • Referenced in 35 articles [sw13784]
  • package rugarch: Univariate GARCH Models. ARFIMA, in-mean, external regressors and various GARCH flavors, with...
  • StFinMetrics

  • Referenced in 35 articles [sw29976]
  • cointegration; analysis of vector autoregressive and multivariate GARCH models; modelling of long memory time series ... including fractional ARIMA and GARCH); time series regression modelling and systems of regression equations; state...
  • RMetrics

  • Referenced in 31 articles [sw09991]
  • Rmetrics covers Time Series Econometrics, Hypothesis Testing, GARCH Modelling and Volatility Forecasting, Extreme Value Theory...
  • rmgarch

  • Referenced in 9 articles [sw26851]
  • package rmgarch: Multivariate GARCH Models. Feasible multivariate GARCH models including DCC, GO-GARCH and Copula ... GARCH...
  • gogarch

  • Referenced in 8 articles [sw19309]
  • gogarch facilitate the estimation of generalized orthogonal GARCH (GO-GARCH) models. The following estimation methods ... implemented as well as summarizing GO-GARCH models. The package is purely written...
  • E4

  • Referenced in 12 articles [sw17878]
  • allows for measurement errors, missing data, vector GARCH errors and constraints on the parameters...
  • MFE toolbox

  • Referenced in 7 articles [sw15258]
  • follow on to the UCSD_GARCH toolbox. It has been widely used by students here ... improvement in robustness over the original UCSD GARCH code, although in its current form...
  • GW-WINKS

  • Referenced in 10 articles [sw07742]
  • time series, such as ARCH and GARCH processes, time varying frequencies (TVF), wavelets, and more...
  • lgarch

  • Referenced in 4 articles [sw25590]
  • package lgarch: Simulation and Estimation of Log-GARCH Models. Simulation and estimation of univariate ... multivariate log-GARCH models. The main functions of the package are: lgarchSim(), mlgarchSim(), lgarch ... from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimate ... univariate and multivariate log-GARCH model, respectively...
  • TSM

  • Referenced in 5 articles [sw09504]
  • forecast ARIMA and ARFIMA models, several GARCH, FIGARCH, APARCH and EGARCH variants, bilinear models, Markov ... VARs, simultaneous systems, error correction systems, multivariate GARCH and regime switching. Panel data models...
  • G@RCH

  • Referenced in 5 articles [sw17835]
  • ARCH-type models. These include ARCH, GARCH, EGARCH, GJR, APARCH, IGARCH, RiskMetrics, FIGARCH , FIEGARCH , FIAPARCH...
  • MSGARCH

  • Referenced in 3 articles [sw25780]
  • package MSGARCH: Markov-Switching GARCH Models. Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast ... various Markov-Switching GARCH models as described in Ardia et al. (2017) ....
  • ccgarch

  • Referenced in 2 articles [sw22299]
  • package ccgarch: Conditional Correlation GARCH models. Functions for estimating and simulating the family ... GARCH models...
  • bayesGARCH

  • Referenced in 2 articles [sw30773]
  • package bayesGARCH: Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations. Provides ... which performs the Bayesian estimation of the GARCH(1,1) model with Student...
  • MIDAS Regressions

  • Referenced in 3 articles [sw21902]
  • package also includes two functions for GARCH-MIDAS and DCC-MIDAS estimation. See the enclosed...
  • FAMOCUTN

  • Referenced in 3 articles [sw25847]
  • Gesellschaft fur Reaktorsicherheit (GRS) mbH, 85748 Garching, and (2) KFA-Forschungszentrum Julich GmbH, Institute...
  • GARCH Toolbox

  • Referenced in 1 article [sw14890]
  • MATLAB and the GARCH Toolbox provide an integrated computing environment for modeling the volatility ... univariate economic time series. The GARCH Toolbox uses a general ARMAX/GARCH composite model to perform...
  • mleur

  • Referenced in 2 articles [sw07440]
  • well as for innovations generated from a GARCH(1,1) process...
  • SeLaLib

  • Referenced in 2 articles [sw14047]
  • Planck-Institut für Plasmaphysik (IPP) in Garching, we are currently developing the Selalib library. Selalib...
  • spGARCH

  • Referenced in 1 article [sw26932]
  • package spGARCH: Spatial ARCH and GARCH Models (spGARCH). A collection of functions to deal with ... spatiotemporal autoregressive conditional heteroscedasticity (spatial ARCH and GARCH models) by Otto, Schmid, Garthoff (2018, Spatial...