spGARCH: An R-Package for Spatial and Spatiotemporal ARCH and GARCH models
spGARCH: An R-Package for Spatial and Spatiotemporal ARCH and GARCH models
In this paper, a general overview on spatial and spatiotemporal ARCH models is provided.In particular, we distinguish between three different spatial ARCH-type models.In addition to the original definition of Otto et al. ( 2016), we introduce an exponential spatial ARCH model in this paper.For this new model, maximum-likelihood estimators for …