‘garchf’: GARCH probabilistic forecasting with package ‘forecast’-style interface (and ‘rugarch’ under the hood)
The package garchf wraps the extensive GARCH modeling machinery in rugarch behind a forecast-style interface, so that GARCH-based forecasts can be produced, plotted, and evaluated with the same conventions used throughout the forecast ecosystem (in the... Continue reading: ‘garchf’: GARCH probabilistic forecasting with package ‘forecast’-style interface (and ‘rugarch’ under the hood)
The skinny
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