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Introduction

The ARCH toolbox contains routines for:

  • Univariate volatility models;
  • Bootstrapping;
  • Multiple comparison procedures; and
  • Unit root tests.

Future plans are to continue to expand this toolbox to include additional routines relevant for the analysis of financial data.

Citation

This package should be cited using Zenodo. For example, for the 4.8.1 release,

[*]Kevin Sheppard. (2019, March 28). bashtage/arch: Release 4.8.1 (Version 4.8.1). Zenodo. http://doi.org/10.5281/zenodo.2613877
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