spGARCH: Spatial ARCH and GARCH Models (spGARCH)

A collection of functions to deal with spatial and spatiotemporal autoregressive conditional heteroscedasticity (spatial ARCH and GARCH models) by Otto, Schmid, Garthoff (2018, Spatial Statistics) <doi:10.1016/j.spasta.2018.07.005>: simulation of spatial ARCH-type processes (spARCH, log/exponential-spARCH, complex-spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.

Version: 0.2.3
Depends: R (≥ 3.1.0)
Imports: Rcpp (≥ 0.12.4), stats, truncnorm, Rsolnp, spdep, Matrix, nleqslv, methods, crayon
LinkingTo: Rcpp, RcppEigen, Matrix
Published: 2025-04-09
Author: Philipp Otto ORCID iD [cre, aut]
Maintainer: Philipp Otto <philipp.otto89 at gmail.com>
Contact: <philipp.otto89@gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: yes
Citation: spGARCH citation info
CRAN checks: spGARCH results

Documentation:

Reference manual: spGARCH.pdf

Downloads:

Package source: spGARCH_0.2.3.tar.gz
Windows binaries: r-devel: spGARCH_0.2.2.zip, r-release: spGARCH_0.2.2.zip, r-oldrel: spGARCH_0.2.2.zip
macOS binaries: r-devel (arm64): spGARCH_0.2.3.tgz, r-release (arm64): spGARCH_0.2.3.tgz, r-oldrel (arm64): spGARCH_0.2.3.tgz, r-devel (x86_64): spGARCH_0.2.3.tgz, r-release (x86_64): spGARCH_0.2.3.tgz, r-oldrel (x86_64): spGARCH_0.2.3.tgz
Old sources: spGARCH archive

Linking:

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