garchx: Flexible and Robust GARCH-X Modelling

Sucarrat, Genaro (2020): garchx: Flexible and Robust GARCH-X Modelling.

Abstract

The R package garchx provides a user-friendly, fast, flexible and robust framework for the estimation and inference of GARCH(p,q,r)-X models, where p is the ARCH order, q is the GARCH order, r is the asymmetry or leverage order, and 'X' indicates that covariates can be included. Quasi Maximum Likelihood (QML) methods ensure estimates are consistent and standard errors valid, even when the standardised innovations are non-normal or dependent, or both. Zero-coefficient restrictions by omission enable parsimonious specifications, and functions to facilitate the non-standard inference associated with zero-restrictions in the null-hypothesis are provided. Finally, in formal comparisons of precision and speed, the garchx package performs well relative to other prominent GARCH-packages on CRAN.

• Item Type: MPRA Paper
• Language: English
• Keywords: Volatility, GARCH, covariates, robust, R
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software

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