spGARCH: An R-Package for Spatial and Spatiotemporal ARCH and GARCH models

@article{Otto2019spGARCHAR,
  title={spGARCH: An R-Package for Spatial and Spatiotemporal ARCH and GARCH models},
  author={Philipp E. Otto},
  journal={R Journal},
  year={2019},
  volume={11},
  pages={401-420}
}
  • Philipp E. Otto
  • Published 2019
  • Mathematics, Computer Science
  • R Journal
  • Abstract In this paper, a general overview on spatial and spatiotemporal ARCH models is provided. In particular, we distinguish between three different spatial ARCH-type models. In addition to the original definition of Otto et al. (2016), we introduce an logarithmic spatial ARCH model in this paper. For this new model, maximum-likelihood estimators for the parameters are proposed. In addition, we consider a new complex-valued definition of the spatial ARCH process. Moreover, spatial GARCH… CONTINUE READING

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