Estimation and Exogenous Covariate Selection for ARCH-m(X), Additive ARCH-m(x), and GARCH-X Models R package GARCH.X version 2.0 Estimates the parameters and nonparametric functions of an ARCH-m(X) model with exogenous covariates, estimates the parameters and nonparametric functions of an Additive ARCH-m(X) model with exogenous covariates, estimates the parameters of a GARCH-X model with exogenous covariates, performs hypothesis tests for the covariates returning the p-values, and performs stepwise variable selection on the exogenous covariates, and uses False Discovery Rate p-value corrections to select the exogenous variables. Software Imports: stats, methods, nnls, utils, GA, GenSA, pso, KernSmooth Adriano Zambom <adriano.zambom@csun.edu> Comprehensive R Archive Network (CRAN) Adriano Zambom [aut, cre], Vincent Alegrete [aut], Elijah Sagaran [aut], Avni Israni [aut] GPL (>= 2) 2026-04-21 application/tgz https://CRAN.R-project.org/package=GARCH.X doi:10.32614/CRAN.package.GARCH.X