Package: tvGarchKF
Date: 2026-08-13
Type: Package
Title: Time-Varying Garch Models Through a State-Space Representation
Version: 1.0.0
Authors@R: c(person("Guillermo", "Ferreira", role = "aut",
                    email = "gferreir@udec.cl"),
            person("Tomás", "Arancibia", role = c("aut", "cre"),
                    email = "tarancibia2016@udec.cl"))
Maintainer: Tomás Arancibia <tarancibia2016@udec.cl>
Depends: R (>= 3.5.0)
Description: 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>.
License: GPL (>= 3)
Encoding: UTF-8
LazyData: true
LinkingTo: Rcpp
Imports: stats, fGarch, graphics, numDeriv, timeSeries, methods, zoo,
        utils, locfit, npreg, withr, mgcv, splines
Roxygen: list(markdown = TRUE)
RoxygenNote: 7.3.2
Suggests: testthat (>= 3.5.0)
Config/testthat/edition: 3
Collate: 'NonParam-BS.R' 'NonParam-LP.R' 'NonParam-SS.R'
        'Parametric-function.R' 'auto.tvGarchKF.R' 'class-tvGarchKF.R'
        'class-tvGarchKFNonParam.R' 'class-tvGarchKFNonParam_Fit.R'
        'helpers_gamSS.R' 'helpers.R' 'indipsa.R' 'methods-fitted.R'
        'methods-nobs.R' 'methods-plot.R' 'methods-predict.R'
        'methods-residuals.R' 'methods-summary.R' 'methods-vcov.R'
        'tvCoef.R' 'tvGarchKalman.R' 'tvGarchKalmanFit.R'
        'tvGarchKalmanLoglike.R' 'tvGarchKalmanPrint.R'
        'tvGarchNonParamFit.R' 'tvGarchNonParamKF.R' 'tvGarch_Sim.R'
        'tvParameter.R'
Repository: https://tomas-udec.r-universe.dev
Date/Publication: 2026-08-22 16:53:47 UTC
RemoteUrl: https://github.com/tomas-udec/tvgarchkf
RemoteRef: HEAD
RemoteSha: 08ebfa907aec9941233b481f81d7689fe59082e9
NeedsCompilation: yes
Packaged: 2026-10-21 09:28:45 UTC; root
Author: Guillermo Ferreira [aut],
  Tomás Arancibia [aut, cre]