Volatility and GARCH

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Volatility models forecast conditional variance rather than the level, using the GARCH family and its asymmetric and realized extensions.

Pass any model string below as Arm(model=...). Extra names an optional dependency, Scaling flags whether predictors should be standardized, and Tunable counts the hyperparameters the search space exposes.

Model string	Description	Input	Extra	Scaling	Recommended preprocessing	Tunable
egarch	EGARCH volatility model.	volatility	arch	no	default	4
garch11	GARCH volatility model.	volatility	arch	no	default	3
gjr_garch	GJR-GARCH asymmetric volatility model.	volatility	arch	no	default	4
realized_garch	Compact realized GARCH volatility model.	volatility	none	no	default	1
tgarch	Threshold GARCH (TGARCH/Zakoian) volatility model.	volatility	arch	no	default	4

Reference

• Models reference page for ModelSpec, ModelFit, and fit conventions.