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  "Title": "Multivariate ARCH Models",
  "Description": "Feasible Multivariate Generalized Autoregressive\nConditional Heteroscedasticity (GARCH) models including Dynamic\nConditional Correlation (DCC), Copula GARCH and Generalized\nOrthogonal GARCH with Generalized Hyperbolic distribution. A\nreview of some of these models can be found in Boudt, Galanos,\nPayseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.",
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  "BugReports": "https://github.com/tsmodels/tsmarch/issues",
  "Roxygen": "list(markdown = TRUE)",
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  "URL": "https://github.com/tsmodels/tsmarch, https://www.nopredict.com",
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  "Repository": "https://tsmodels.r-universe.dev",
  "Date/Publication": "2026-09-21 08:10:30 UTC",
  "RemoteUrl": "https://github.com/tsmodels/tsmarch",
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  "Packaged": {
    "Date": "2026-09-21 11:07:22 UTC",
    "User": "root"
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  "Author": "Alexios Galanos [aut, cre, cph] (ORCID:\n<https://orcid.org/0009-0000-9308-0457>)",
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    "author": "Alexios Galanos <alexios@4dscape.com>",
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    "message": "Propagate first stage variance regressors into DCC and Copula GARCH\n\nThe mean equation regressors were threaded through the forward looking\nmethods, but the variance equation regressors were not, and two of the\nthree surfaces failed silently. A first stage model specified with vreg\nreached tsgarch's simulate without any regressors, where the guard\nreads `!is.null(vreg) & include_vreg` and so fell through to a constant\nomega intercept: predict and simulate returned plausible but wrong\nvariances with no warning. Only tsfilter failed loudly, because tsgarch\nerrors there when newvreg is missing.\n\nThe argument mirrors the mean regressor one, a list with one element per\nseries, named (and possibly partial) or unnamed (and complete): newvreg\nin tsfilter (rows matching y) and predict (h rows), vreg in simulate\n(h + burn rows). It takes raw regressor matrices on all three surfaces,\nincluding simulate, even though tsgarch's simulate expects the legacy\npre-multiplied vector there; that vector carries no column information,\nso a wrong number of regressors or a transposed matrix cannot be\ndetected, and exposing two conventions across three surfaces would\ninvite exactly the errors the validation exists to catch. The\npre-multiplication by xi is done internally instead, and is the same\nunder both the additive and the multiplicative convention since tsgarch\nexponentiates omega + vreg after the fact.\n\nA missing regressor raises an error naming the affected series rather\nthan being zero filled with a warning, following the asymmetry tsgarch\ndeliberately keeps between newvreg and newxreg. cond_mean is untouched,\nas the variance regressors say nothing about the conditional mean, and\nthe GOGARCH model is again unaffected since its first stage\nspecifications are built internally on the independent components.\n\nThe regressor validation is now shared, parameterised by the slot pair\nit reads and by the missing value policy, rather than duplicated for the\ntwo equations. Tests assert the predi",
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      "page": "as_flextable",
      "title": "Transform a test object into flextable",
      "topics": [
        "as_flextable.tstest.escc"
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    },
    {
      "page": "bread.tsmarch",
      "title": "Bread Method",
      "topics": [
        "bread.cgarch.estimate",
        "bread.dcc.estimate"
      ]
    },
    {
      "page": "cgarch_modelspec.generic",
      "title": "Generic Methods for the Copula GARCH model specification",
      "topics": [
        "cgarch_modelspec"
      ]
    },
    {
      "page": "cgarch_modelspec",
      "title": "Copula GARCH model specification",
      "topics": [
        "cgarch_modelspec.tsgarch.multi_estimate"
      ]
    },
    {
      "page": "coef.tsmarch",
      "title": "Extract Model Coefficients",
      "topics": [
        "coef",
        "coef.cgarch.estimate",
        "coef.dcc.estimate",
        "coef.gogarch.estimate"
      ]
    },
    {
      "page": "combn_fast",
      "title": "Fast combination of n elements, taken m at a time",
      "topics": [
        "combn_fast"
      ]
    },
    {
      "page": "dcc_modelspec.generic",
      "title": "Generic Methods for the DCC GARCH model specification",
      "topics": [
        "dcc_modelspec"
      ]
    },
    {
      "page": "dcc_modelspec",
      "title": "DCC GARCH model specification",
      "topics": [
        "dcc_modelspec.tsgarch.multi_estimate"
      ]
    },
    {
      "page": "dist_fft",
      "title": "FFT density, distribution and quantile method",
      "topics": [
        "dfft",
        "dfft.gogarch.fft",
        "dfft.gogarch.fftsim",
        "pfft",
        "pfft.gogarch.fft",
        "pfft.gogarch.fftsim",
        "qfft",
        "qfft.gogarch.fft",
        "qfft.gogarch.fftsim"
      ]
    },
    {
      "page": "dji30retw",
      "title": "Dow Jones 30 Constituents Closing Value log Weekly Return",
      "topics": [
        "dji30retw"
      ]
    },
    {
      "page": "escc_test",
      "title": "Engle-Sheppard Constant Correlation Test",
      "topics": [
        "escc_test"
      ]
    },
    {
      "page": "estfun.tsmarch",
      "title": "Score Method",
      "topics": [
        "estfun.cgarch.estimate",
        "estfun.dcc.estimate"
      ]
    },
    {
      "page": "estimate.tsmarch",
      "title": "Estimates a model given a specification.",
      "topics": [
        "estimate",
        "estimate.cgarch.spec",
        "estimate.dcc.spec",
        "estimate.gogarch.spec"
      ]
    },
    {
      "page": "expected_shortfall",
      "title": "Expected Shortfall (ES) method for predicted and simulated objects",
      "topics": [
        "expected_shortfall",
        "expected_shortfall.cgarch.predict",
        "expected_shortfall.cgarch.simulate",
        "expected_shortfall.dcc.predict",
        "expected_shortfall.dcc.simulate",
        "expected_shortfall.gogarch.predict",
        "expected_shortfall.gogarch.simulate"
      ]
    },
    {
      "page": "fastica",
      "title": "The Fast ICA (FASTICA)",
      "topics": [
        "fastica"
      ]
    },
    {
      "page": "fitted.tsmarch",
      "title": "Extract Model Fitted Values",
      "topics": [
        "fitted",
        "fitted.cgarch.estimate",
        "fitted.cgarch.predict",
        "fitted.cgarch.simulate",
        "fitted.dcc.estimate",
        "fitted.dcc.predict",
        "fitted.dcc.simulate",
        "fitted.gogarch.estimate",
        "fitted.gogarch.predict",
        "fitted.gogarch.simulate"
      ]
    },
    {
      "page": "globalindices",
      "title": "Global Financial Indices Closing Value log Weekly Return",
      "topics": [
        "globalindices"
      ]
    },
    {
      "page": "gogarch_modelspec",
      "title": "GOGARCH Model specification",
      "topics": [
        "gogarch_modelspec"
      ]
    },
    {
      "page": "logLik.tsmarch",
      "title": "Extract Log-Likelihood",
      "topics": [
        "logLik",
        "logLik.cgarch.estimate",
        "logLik.dcc.estimate",
        "logLik.gogarch.estimate"
      ]
    },
    {
      "page": "newsimpact.tsmarch",
      "title": "News Impact Surface",
      "topics": [
        "newsimpact.cgarch.estimate",
        "newsimpact.dcc.estimate",
        "newsimpact.gogarch.estimate"
      ]
    },
    {
      "page": "pit",
      "title": "Probability Integral Transform (PIT) for weighted FFT densities",
      "topics": [
        "pit.gogarch.fft"
      ]
    },
    {
      "page": "correlation_plots",
      "title": "Dynamic Correlation Model Plots",
      "topics": [
        "plot.cgarch.estimate",
        "plot.dcc.estimate"
      ]
    },
    {
      "page": "plot",
      "title": "News Impact Surface Plot",
      "topics": [
        "plot.tsmarch.newsimpact"
      ]
    },
    {
      "page": "predict.tsmarch",
      "title": "Model Prediction",
      "topics": [
        "predict",
        "predict.cgarch.estimate",
        "predict.dcc.estimate",
        "predict.gogarch.estimate"
      ]
    },
    {
      "page": "print.tsmarch.estimate",
      "title": "Model Estimation Summary Print method",
      "topics": [
        "print.summary.cgarch.estimate",
        "print.summary.dcc.estimate",
        "print.summary.gogarch.estimate",
        "print.summary.tsmarch.estimate"
      ]
    },
    {
      "page": "print",
      "title": "Print method for escc test",
      "topics": [
        "print.tstest.escc"
      ]
    },
    {
      "page": "radical",
      "title": "The Robust Accurate, Direct ICA ALgorithm (RADICAL)",
      "topics": [
        "radical"
      ]
    },
    {
      "page": "residuals.tsmarch",
      "title": "Extract Model Residuals",
      "topics": [
        "residuals",
        "residuals.cgarch.estimate",
        "residuals.dcc.estimate",
        "residuals.gogarch.estimate"
      ]
    },
    {
      "page": "simulate.tsmarch",
      "title": "Model Simulation",
      "topics": [
        "simulate",
        "simulate.cgarch.estimate",
        "simulate.dcc.estimate",
        "simulate.gogarch.estimate"
      ]
    },
    {
      "page": "summary.tsmarch",
      "title": "Model Estimation Summary",
      "topics": [
        "summary",
        "summary.cgarch.estimate",
        "summary.dcc.estimate",
        "summary.gogarch.estimate"
      ]
    },
    {
      "page": "tsaggregate.tsmarch",
      "title": "Weighted Moments Aggregation",
      "topics": [
        "tsaggregate",
        "tsaggregate.cgarch.estimate",
        "tsaggregate.cgarch.predict",
        "tsaggregate.cgarch.simulate",
        "tsaggregate.dcc.estimate",
        "tsaggregate.dcc.predict",
        "tsaggregate.dcc.simulate",
        "tsaggregate.gogarch.estimate",
        "tsaggregate.gogarch.predict",
        "tsaggregate.gogarch.simulate"
      ]
    },
    {
      "page": "tscokurt.tsmarch",
      "title": "Cokurtosis Extractor",
      "topics": [
        "tscokurt",
        "tscokurt.gogarch.estimate",
        "tscokurt.gogarch.predict",
        "tscokurt.gogarch.simulate"
      ]
    },
    {
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