tvGarchKF

cranv0.0.1

Time-Varying Garch Models Through a State-Space Representation. 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-spac

License GPL (>= 3)0 versions1 maintainers3 deps102 weekly dl
https://CRAN.R-project.org/package=tvGarchKF
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Health breakdown0 – 100
10/25
maintenance
3/20
popularity
25/25
security
0/15
maturity
2/15
community
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0
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First published · 2025-05-30 09:49:50

Last updated · 2025-05-30T08:10:02+00:00