Package: tvGarchKF 1.0.0

tvGarchKF: Time-Varying Garch Models Through a State-Space Representation

Estimates the time-varying (tv) parameters of the GARCH(1,1) model, enabling the modeling of non-stationary volatilities by allowing the model parameters to change gradually over time. The estimation and prediction processes are facilitated through the application of the Kalman filter and state-space equations. This package supports the estimation of tv parameters for various deterministic functions, which can be identified through exploratory analysis of different time periods or segments of return data. The methodology is grounded in the framework presented by Ferreira et al. (2017) <doi:10.1080/00949655.2017.1334778>.

Authors:Guillermo Ferreira [aut], Tomás Arancibia [aut, cre]

tvGarchKF_1.0.0.tar.gz
tvGarchKF_1.0.0.zip(r-4.7-x86_64)tvGarchKF_1.0.0.zip(r-4.7-arm64)tvGarchKF_1.0.0.zip(r-4.6-x86_64)tvGarchKF_1.0.0.zip(r-4.6-arm64)tvGarchKF_1.0.0.zip(r-4.5-x86_64)
tvGarchKF_1.0.0.tgz(r-4.6-x86_64)tvGarchKF_1.0.0.tgz(r-4.6-arm64)tvGarchKF_1.0.0.tgz(r-4.5-x86_64)tvGarchKF_1.0.0.tgz(r-4.5-arm64)
tvGarchKF_1.0.0.tar.gz(r-4.7-arm64)tvGarchKF_1.0.0.tar.gz(r-4.7-x86_64)tvGarchKF_1.0.0.tar.gz(r-4.6-arm64)tvGarchKF_1.0.0.tar.gz(r-4.6-x86_64)
tvGarchKF_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
tvGarchKF/json (API)

# Install 'tvGarchKF' in R:
install.packages('tvGarchKF', repos = c('https://tomas-udec.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/tomas-udec/tvgarchkf/issues

Datasets:
  • indipsa - Selective Stock Price Index

On CRAN:

Conda:

2.00 score 261 downloads 15 exports 23 dependencies

Last updated from:08ebfa907a. Checks:15 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK173
linux-devel-x86_64OK173
source / vignettesOK451
linux-release-arm64OK166
linux-release-x86_64OK206
macos-release-arm64OK275
macos-release-x86_64OK501
macos-oldrel-arm64OK218
macos-oldrel-x86_64OK326
windows-devel-arm64OK392
windows-devel-x86_64OK176
windows-release-arm64OK396
windows-release-x86_64OK96
windows-oldrel-x86_64OK140
wasm-releaseOK126

Exports:auto.tvGarchKFfittednobsplotpredictresidualssummarytvGarch_SimtvGarchKalmanFittvGarchKalmanLogliketvGarchKalmanPrinttvGarchNonParamFittvGarchNonParamKFtvParametervcov

Dependencies:cvarfastICAfBasicsfGarchgbutilsgsslatticelocfitMASSMatrixmgcvnlmenpregnumDerivrbibutilsRcppRdpackspatialstabledisttimeDatetimeSerieswithrzoo

Readme and manuals

Help Manual

Help pageTopics
Automatic selection of tuning parameters for non-parametric tv-GARCH estimationauto.tvGarchKF
Fitted method.fitted,tvGarchKF-method fitted,tvGarchKFNonParam-method fitted,tvGarchKFNonParam_Fit-method
Selective Stock Price Indexindipsa
Number of Observationsnobs,tvGarchKF-method
Plot method for 'tvGarchKF', 'tvGarchKFNonParam' and 'tvGarchKFNonParam_Fit' objects.plot,tvGarchKF,ANY-method plot,tvGarchKF,missing-method plot,tvGarchKFNonParam,ANY-method plot,tvGarchKFNonParam,missing-method plot,tvGarchKFNonParam_Fit,ANY-method plot,tvGarchKFNonParam_Fit,missing-method
Forecast conditional volatility from a tv-GARCH model.predict,tvGarchKF-method predict,tvGarchKFNonParam-method predict,tvGarchKFNonParam_Fit-method
Residuals method.residuals,tvGarchKF-method
Summary method.summary,tvGarchKF-method summary,tvGarchKFNonParam-method
Generating Simulations using a tv-Garch ModeltvGarch_Sim
Estimate a tv-GARCH(1,1) by using the Kalman Filter.tvGarchKalmanFit
Models tv-Garch Filter Kalman LogLikehood.tvGarchKalmanLoglike
Models tv-Garch Filter Kalman print outputs.tvGarchKalmanPrint
Clase tvGarchKFtvGarchKF-class
Clase tvGarchKFNonParamtvGarchKFNonParam_Fit-class
Clase tvGarchKFNonParamtvGarchKFNonParam-class
EStimate tv-GARCH(1,1) parameter curves using non-parametric smoothing methods.tvGarchNonParamFit
Kalman Filter estimation with non-parametric tv-GARCH parameters.tvGarchNonParamKF
Estimate the local structure of tv-GARCH(1,1) parameters.tvParameter
Vcov method.vcov,tvGarchKF-method