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# CITATION file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "tvGarchKF" in publications use:'
type: software
license: GPL-3.0-or-later
title: 'tvGarchKF: Time-Varying Garch Models Through a State-Space Representation'
version: 0.0.1
identifiers:
- type: doi
  value: 10.32614/CRAN.package.tvGarchKF
abstract: 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) <https://doi.org/10.1080/00949655.2017.1334778>.
authors:
- family-names: Ferreira
  given-names: Guillermo
  email: gferreir@udec.cl
- family-names: Arancibia
  given-names: Tomás
  email: tarancibia2016@udec.cl
preferred-citation:
  type: manual
  title: tvGarchKF
  authors:
  - family-names: Ferreira
    given-names: Guillermo
    email: gferreir@udec.cl
  - family-names: Arancibia
    given-names: Tomás
    email: tarancibia2016@udec.cl
  year: '2025'
  url: https://github.com/Tomas-UDEC/tvGarchKF
repository: https://tomas-udec.r-universe.dev
commit: ed8db55674b6cfa6c14e2bb6576594bd6f5c5c68
date-released: '2025-05-06'
contact:
- family-names: Arancibia
  given-names: Tomás
  email: tarancibia2016@udec.cl