Package: garchx
Type: Package
Title: Flexible and Robust GARCH-X Modelling
Version: 1.7
Date: 2026-06-29
Authors@R: person(given = "Genaro", family = "Sucarrat", role = c("aut", "cre"), email = "gsucarrat@gmail.com", comment = c(ORCID = "0000-0002-8433-837X"))
Author: Genaro Sucarrat [aut, cre] (ORCID:
    <https://orcid.org/0000-0002-8433-837X>)
Maintainer: Genaro Sucarrat <gsucarrat@gmail.com>
Description: Flexible and robust estimation and inference of Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2019) <doi:10.1017/S0266466617000512>. Coefficients can straightforwardly be set to zero by omission, and quasi maximum likelihood methods ensure estimates are generally consistent and inference valid, even when the standardised innovations are non-normal and/or dependent over time. See Sucarrat (2021) <doi:10.32614/RJ-2021-057> for an overview of the package.
License: GPL (>= 2)
Depends: R (>= 3.4.0), methods, zoo
Suggests: tvgarch, lgarch
BugReports: https://github.com/gsucarrat/garchx/issues
URL: https://www.sucarrat.net/
NeedsCompilation: yes
Packaged: 2026-06-29 14:42:42 UTC; sucarrat
Repository: CRAN
Date/Publication: 2026-06-30 07:00:02 UTC
Built: R 4.6.1; aarch64-apple-darwin23; 2026-06-30 11:49:30 UTC; unix
Archs: garchx.so.dSYM
