spGARCH

R package spGARCH: Spatial ARCH and GARCH Models (spGARCH). A collection of functions to deal with spatial and spatiotemporal autoregressive conditional heteroscedasticity (spatial ARCH and GARCH models) by Otto, Schmid, Garthoff (2018, Spatial Statistics) <arXiv:1609.00711>: simulation of spatial ARCH-type processes (spARCH, exponential spARCH, complex spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.

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References in zbMATH (referenced in 1 article , 1 standard article )

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  1. Philipp Otto: spGARCH: An R-Package for Spatial and Spatiotemporal ARCH models (2018) arXiv