Estimation and Exogenous Covariate Selection for GARCH-X Models
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Documentation for package ‘GARCH.X’ version 1.0
Help Pages
| AIC | AIC for GARCHX model |
| BIC | BIC for GARCHX model |
| GARCHX | Fitting GARCHX model for variable selection |
| GARCHX_select | Variable selection for exogenous covariates in GARCHX models |
| predict | Predict GARCHX future time series values |
| simulate | Simulate GARCHX model |