Multivariate ARCH Models

Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) .


Reference manual

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install.packages("tsmarch")

1.0.3 by Alexios Galanos, 2 days ago


https://github.com/tsmodels/tsmarch, https://www.nopredict.com


Report a bug at https://github.com/tsmodels/tsmarch/issues


Browse source code at https://github.com/cran/tsmarch


Authors: Alexios Galanos [aut, cre, cph] (ORCID:


Documentation:   PDF Manual  


GPL-2 license


Imports Rcpp, RcppParallel, tsgarch, tsdistributions, RcppBessel, Rsolnp, nloptr, flextable, numDeriv, abind, shape, Rdpack, xts, zoo, lubridate, sandwich, future.apply, future, stats, utils, data.table

Depends on methods, tsmethods

Suggests knitr, rmarkdown, testthat, tstests

Linking to Rcpp, RcppArmadillo, RcppParallel, RcppBessel

System requirements: GNU make


See at CRAN