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tvGarchKF  

Time-Varying Garch Models Through a State-Space Representation
View on CRAN: Click here


Download and install tvGarchKF package within the R console
Install from CRAN:
install.packages("tvGarchKF")

Install from Github:
library("remotes")
install_github("cran/tvGarchKF")

Install by package version:
library("remotes")
install_version("tvGarchKF", "0.0.1")



Attach the package and use:
library("tvGarchKF")
Maintained by
Tomás Arancibia
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-05-30
Latest Update: 2025-05-30
Description:
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-space equations. This package supports the estimation of tv parameters for various deterministic functions, which can be identified through exploratory analysis of different time periods or segments of return data. The methodology is grounded in the framework presented by Ferreira et al. (2017) <doi:10.1080/00949655.2017.1334778>.
How to cite:
Tomás Arancibia (2025). tvGarchKF: Time-Varying Garch Models Through a State-Space Representation. R package version 0.0.1, https://cran.r-project.org/web/packages/tvGarchKF. Accessed 12 Jun. 2025.
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