{"repo":"tsmodels/tsmarch","free":true,"listed":false,"github":"https://github.com/tsmodels/tsmarch","clone":"git clone https://github.com/tsmodels/tsmarch.git","description":"Feasible Multivariate GARCH Models","language":"R","stars":12,"topics":["econometrics","finance","garch","multivariate-timeseries","time-series"],"license":null,"category":"trading","readme_excerpt":"tsmarch tsmarch The tsmarch package represents a re-write and re-think of the models in rmgarch. It is written using simpler S3 methods and classes, has a cleaner code base, extensive documentation and unit tests, provides speed gains by making use of parallelization in both R (via the future package) and in the C++ code (via RcppParallel package), and works with the new univariate GARCH package tsgarch. Installation The package can be installed from CRAN or the tsmodels github repo: The online vignette with a demo is available here. Some notes on the ICA based algorithms used in the GOGARCH model are available in a blog post.","default_branch":null,"files":null,"tree":[],"storefront":"/r/tsmodels","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/tsmodels/tsmarch/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}