alexiosg / rugarch
Univariate GARCH models in R
☆26Updated 4 months ago
Alternatives and similar repositories for rugarch:
Users that are interested in rugarch are comparing it to the libraries listed below
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆17Updated 6 months ago
- GAS models☆34Updated 3 years ago
- Dynamic Factor Models for R☆35Updated last month
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆17Updated last month
- R package to estimate time-varying coefficient regressions☆19Updated last year
- tsDyn☆34Updated 6 months ago
- R package for Mixed-Frequency Bayesian VARs☆40Updated 3 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆29Updated 4 months ago
- Convolution-type Smoothed Quantile Regression☆21Updated 2 years ago
- Multivariate Time Series Models: VAR, SVAR and SVEC☆43Updated 3 years ago
- R/C++ implementation of Bayes VAR models☆18Updated 5 years ago
- Expected Shortfall Backtesting☆12Updated last year
- GARCH models estimated using autodiff.☆14Updated 4 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆34Updated 7 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆32Updated 6 months ago
- BLS API V2 interface☆14Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆27Updated last year
- Set of R functions for high-dimensional econometrics☆33Updated 5 years ago
- Bayesian Estimation of Structural Vector Autoregressive Models☆49Updated 3 weeks ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆55Updated 5 months ago
- Estimating VARs using sign restrictions in R☆20Updated 9 years ago
- R Package for data driven SVAR identification of impulse response functions☆48Updated 2 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆12Updated 2 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- r package for bayesian VARs☆23Updated 7 years ago
- R package for fast rolling and expanding linear regression models☆22Updated 3 years ago
- An R-package for obtaining real-time data from ALFRED database☆19Updated 2 years ago
- statespacer: State Space Modelling in R☆15Updated 2 years ago
- Penalized Quantile Regression☆15Updated 2 months ago
- Repository for GARCH tutorial paper in RAC☆30Updated 4 years ago