wARMASVp
cranv0.1.0Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models. Estimation, simulation, hypothesis testing, and forecasting for univariate higher-order stochastic volatility SV(p) models. Supports Gaussian, Student-t, and Generalized Error Distribution (GED) innovations, with optional leverage effects. Estimation uses closed-form Winsorized ARMA-SV (W-ARMA-SV) m
License GPL (>= 3)0 versions1 maintainers3 deps108 weekly dl
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curl https://depscope.dev/api/check/cran/wARMASVpFirst published · 2026-04-22 10:05:16
Last updated · 2026-04-22T07:20:08+00:00