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
[email protected] is safe to use (health: 40/100)
Get this data programmatically — free, no authentication.
curl https://depscope.dev/api/check/cran/tvGarchKFFirst published · 2025-05-30 09:49:50
Last updated · 2025-05-30T08:10:02+00:00