GARCH.X
Estimation and Exogenous Covariate Selection for GARCH-X Models
v1.0
·
Jun 16, 2025
·
GPL (>= 2)
Description
Estimates the parameters of a GARCH-X model with exogenous covariates, performs hypothesis tests for the parameters returning the p-values, and uses False Discovery Rate p-value corrections to select the exogenous variables.
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| r-release-linux-x86_64 | OK |
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OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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1.0
Mar 10, 2026