garchx: Flexible and Robust GARCH-X Modelling

Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2018) <doi:10.1017/S0266466617000512>. Coefficients can straightforwardly be set to zero by omission, and quasi maximum likelihood methods ensure estimates are generally consistent and inference valid, even when the standardised innovations are non-normal and/or dependent over time, see <> for an overview of the package.

Version: 1.5
Depends: R (≥ 3.4.0), methods, zoo
Suggests: tvgarch, lgarch
Published: 2022-09-13
DOI: 10.32614/CRAN.package.garchx
Author: Genaro Sucarrat [aut, cre]
Maintainer: Genaro Sucarrat <gsucarrat at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: NEWS
In views: Finance
CRAN checks: garchx results


Reference manual: garchx.pdf


Package source: garchx_1.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): garchx_1.5.tgz, r-oldrel (arm64): garchx_1.5.tgz, r-release (x86_64): garchx_1.5.tgz, r-oldrel (x86_64): garchx_1.5.tgz
Old sources: garchx archive

Reverse dependencies:

Reverse depends: tvgarch


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