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cff-version: 1.2.0
message: 'To cite package "wARMASVp" in publications use:'
type: software
license: GPL-3.0-or-later
title: 'wARMASVp: Winsorized ARMA Estimation for Higher-Order Stochastic Volatility
  Models'
version: 0.2.0
doi: 10.1016/j.jeconom.2021.03.008
identifiers:
- type: doi
  value: 10.32614/CRAN.package.wARMASVp
abstract: Estimation, simulation, hypothesis testing, AR-order selection, 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. AR-order selection is also available via information
  criteria (BIC/AIC) using the Kalman-filter quasi-likelihood and the Hannan-Rissanen
  ARMA residual variance. Forecasting is based on Kalman filtering and smoothing.
  See Ahsan and Dufour (2021) <https://doi.org/10.1016/j.jeconom.2021.03.008>, Ahsan,
  Dufour, and Rodriguez-Rondon (2025) <https://doi.org/10.1111/jtsa.12851>, and Ahsan,
  Dufour, and Rodriguez-Rondon (2026) <https://doi.org/10.34989/swp-2026-8> for details.
authors:
- family-names: Rodriguez-Rondon
  given-names: Gabriel
  email: gabriel.rodriguezrondon@mail.mcgill.ca
  orcid: https://orcid.org/0009-0005-3769-9921
- family-names: Ahsan
  given-names: Md. Nazmul
- family-names: Dufour
  given-names: Jean-Marie
preferred-citation:
  type: article
  title: Simple estimators and inference for higher-order stochastic volatility models
  authors:
  - family-names: Ahsan
    given-names: Md. Nazmul
  - family-names: Dufour
    given-names: Jean-Marie
  journal: Journal of Econometrics
  year: '2021'
  volume: '224'
  issue: '1'
  doi: 10.1016/j.jeconom.2021.03.008
  start: '181'
  end: '197'
repository: https://roga11.r-universe.dev
repository-code: https://github.com/roga11/wARMASVp
commit: bbc085cdccf539175c4570854f8bb79859d9a94c
url: https://github.com/roga11/wARMASVp
date-released: '2026-05-15'
contact:
- family-names: Rodriguez-Rondon
  given-names: Gabriel
  email: gabriel.rodriguezrondon@mail.mcgill.ca
  orcid: https://orcid.org/0009-0005-3769-9921
references:
- type: article
  title: Estimation and Inference for Higher-Order Stochastic Volatility Models with
    Leverage
  authors:
  - family-names: Ahsan
    given-names: Md. Nazmul
  - family-names: Dufour
    given-names: Jean-Marie
  - family-names: Rodriguez-Rondon
    given-names: Gabriel
  journal: Journal of Time Series Analysis
  year: '2025'
  volume: '46'
  issue: '6'
  doi: 10.1111/jtsa.12851
  start: '1064'
  end: '1084'
- type: report
  title: Estimation and Inference for Stochastic Volatility Models with Heavy-Tailed
    Distributions
  authors:
  - family-names: Ahsan
    given-names: Md. Nazmul
  - family-names: Dufour
    given-names: Jean-Marie
  - family-names: Rodriguez-Rondon
    given-names: Gabriel
  institution:
    name: Bank of Canada
  issue: 2026-8
  year: '2026'
  doi: 10.34989/swp-2026-8
  notes: Reference for the heavy-tailed and GED leverage estimators, the filtering
    methods, and the information-criterion AR-order selection.