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A parsnip backend for GARCH models in the tidymodels framework.



CRAN version:


Development version:

# install.packages("devtools")

Why 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.