Package: tsmarch

Type: Package

Title: Multivariate ARCH Models

Description: Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.

Version: 1.0.3

Authors@R: c(person("Alexios", "Galanos", role = c("aut", "cre","cph"), email = "[email protected]", comment = c(ORCID = "0009-0000-9308-0457")))

Maintainer: Alexios Galanos <[email protected]>

Depends: R (>= 4.1.0), methods, tsmethods (>= 1.0.2)

LinkingTo: Rcpp (>= 1.1.1), RcppArmadillo, RcppParallel, RcppBessel

SystemRequirements: GNU make

Imports: Rcpp, RcppParallel, tsgarch (>= 1.0.4), tsdistributions (>= 1.0.3), RcppBessel, Rsolnp (>= 2.0.0), nloptr, flextable, numDeriv, abind, shape, Rdpack, xts, zoo, lubridate, sandwich, future.apply, future, stats, utils, data.table

License: GPL-2

Encoding: UTF-8

LazyData: true

BugReports: https://github.com/tsmodels/tsmarch/issues

Roxygen: list(markdown = TRUE)

RoxygenNote: 7.3.2

ByteCompile: true

URL: https://github.com/tsmodels/tsmarch, https://www.nopredict.com

RdMacros: Rdpack

Suggests:

knitr,

rmarkdown,

testthat (>= 3.0.0),

tstests

VignetteBuilder: knitr

Config/testthat/edition: 3