‘garchf’: GARCH probabilistic forecasting with package ‘forecast’-style interface (and ‘rugarch’ under the hood)

The package garchf wraps the extensive GARCH modeling machinery in rugarch behind a forecast-style interface, so that GARCH-based forecasts can be produced, plotted, and evaluated with the same conventions used throughout the forecast ecosystem (in the spirit of functions like forecast::thetaf()). The workhorse function, xgarchf(), fits a GARCH model to a univariate time series – with a choice of…