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<!-- README.md is generated from README.Rmd. Please edit that file -->garchmodels
<img src="vignettes/logo-garchmodels.png" width="147" height="170" align="right" /> <!-- badges: start -->
A parsnip backend for
GARCHmodels in thetidymodelsframework.
Tutorials
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Getting Started with Garchmodels: A walkthrough of the tidy modeling approach with the package.
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Tuning Univariate Garch Models: Learn how to tune parameters of univariate garch models.
Installation
CRAN version:
install.packages("garchmodels")
Development version:
# install.packages("devtools")
devtools::install_github("AlbertoAlmuinha/garchmodels")
Why Garchmodels?
<img src="vignettes/univariate_multivariate.png" width="100%" style="display: block; margin: auto;" />Garchmodels unlocks univariate and multivariate GARCH models in one framework.
In a single framework you will be able to find what you need:
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Univariate Methods:
garchmodelsconnects to therugarchpackage. -
Multivariate Methods:
garchmodelsconnects to therugarchandrmgarchpackages. Available methods include DCC-Garch (Dynamic Conditional Correlation Garch), Copula Garch and GO-Garch models.