The tsmarch package represents a re-write and re-think of the models
in rmgarch. It is written
using simpler S3 methods and classes, has a cleaner code base, extensive
documentation and unit tests, provides speed gains by making use of
parallelization in both R (via the future package) and in the C++ code
(via RcppParallel package), and works with the new univariate GARCH
package tsgarch.
The package can be installed from CRAN or the tsmodels github repo:
install.package("tsmarch")
remotes::install_github("tsmodels/tsmarch", dependencies = TRUE)The online vignette with a demo is available here.
Some notes on the ICA based algorithms used in the GOGARCH model are available in a blog post.