Package: wARMASVp
Type: Package
Title: Winsorized ARMA Estimation for Higher-Order Stochastic
        Volatility Models
Version: 0.1.0
Authors@R: c(
    person("Gabriel", "Rodriguez Rondon",
           email = "gabriel.rodriguezrondon@mail.mcgill.ca",
           role = c("aut", "cre"),
           comment = c(ORCID = "0009-0005-3769-9921")),
    person("Nazmul", "Ahsan", role = "aut"),
    person("Jean-Marie", "Dufour", role = "aut"))
Description: Estimation, simulation, hypothesis testing, and forecasting for
    univariate higher-order stochastic volatility SV(p) models. Supports
    Gaussian, Student-t, and Generalized Error Distribution (GED) innovations,
    with optional leverage effects. Estimation uses closed-form Winsorized
    ARMA-SV (W-ARMA-SV) moment-based methods that avoid numerical
    optimization. Hypothesis testing includes Local Monte Carlo (LMC) and
    Maximized Monte Carlo (MMC) procedures for leverage effects, heavy tails,
    and autoregressive order selection. Forecasting is based on Kalman
    filtering and smoothing. See Ahsan and Dufour (2021)
    <doi:10.1016/j.jeconom.2020.01.018>, Ahsan, Dufour, and Rodriguez Rondon
    (2025) for details.
License: GPL (>= 3)
URL: https://github.com/roga11/wARMASVp
BugReports: https://github.com/roga11/wARMASVp/issues
Encoding: UTF-8
Imports: Rcpp (>= 1.0.0), gsignal, stats
Suggests: pso, GenSA, testthat (>= 3.0.0), knitr, rmarkdown
LinkingTo: Rcpp, RcppArmadillo
RoxygenNote: 7.3.3
VignetteBuilder: knitr
NeedsCompilation: yes
Packaged: 2026-04-21 20:58:28 UTC; gabrielrodriguez
Author: Gabriel Rodriguez Rondon [aut, cre] (ORCID:
    <https://orcid.org/0009-0005-3769-9921>),
  Nazmul Ahsan [aut],
  Jean-Marie Dufour [aut]
Maintainer: Gabriel Rodriguez Rondon <gabriel.rodriguezrondon@mail.mcgill.ca>
Repository: CRAN
Date/Publication: 2026-04-22 08:20:08 UTC
Built: R 4.5.2; x86_64-apple-darwin20; 2026-04-22 09:39:05 UTC; unix
Archs: wARMASVp.so.dSYM
