The ARCH toolbox contains routines for:
Univariate volatility models;
Multiple comparison procedures;
Unit root tests;
Cointegration Testing and Estimation; and
Long-run covariance estimation.
Future plans are to continue to expand this toolbox to include additional routines relevant for the analysis of financial data.
This package should be cited using Zenodo. For example, for the 4.13 release,
Kevin Sheppard. (2020, June 24). bashtage/arch: Release 4.15 (Version 4.15). Zenodo. https://doi.org/10.5281/zenodo.593254