garchmodels

A parsnip backend for GARCH models in the tidymodels framework.

Tutorials

Getting Started with Garchmodels: A walkthrough of the tidy modeling approach with the package.
Tuning Univariate Garch Models: Learn how to tune parameters of univariate garch models.

CRAN version:

install.packages("garchmodels")

Development version:

# install.packages("devtools")
devtools::install_github("AlbertoAlmuinha/garchmodels")

Garchmodels unlocks univariate and multivariate GARCH models in one framework.

In a single framework you will be able to find what you need:

Univariate Methods: garchmodels connects to the rugarch package.
Multivariate Methods: garchmodels connects to the rugarch and rmgarch packages. Available methods include DCC-Garch (Dynamic Conditional Correlation Garch), Copula Garch and GO-Garch models.