tvGarchKF
cranv0.0.1Time-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=tvGarchKF40
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curl https://depscope.dev/api/check/cran/tvGarchKFFirst published · 2025-05-30 09:49:50
Last updated · 2025-05-30T08:10:02+00:00