lgarch: Simulation and Estimation of Log-GARCH Models

Simulation and estimation of univariate and multivariate log-GARCH models. The main functions of the package are: lgarchSim(), mlgarchSim(), lgarch() and mlgarch(). The first two functions simulate from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimate a univariate and multivariate log-GARCH model, respectively.

Version:	0.6-2
Depends:	R (≥ 2.15.0), zoo
Published:	2015-09-15
Author:	Genaro Sucarrat
Maintainer:	Genaro Sucarrat <genaro.sucarrat at bi.no>
License:	GPL-2
URL:	http://www.sucarrat.net/
NeedsCompilation:	yes
Materials:	NEWS
In views:	Finance
CRAN checks:	lgarch results

Documentation:

Reference manual:

lgarch.pdf

Downloads:

Package source:	lgarch_0.6-2.tar.gz
Windows binaries:	r-devel: lgarch_0.6-2.zip, r-release: lgarch_0.6-2.zip, r-oldrel: lgarch_0.6-2.zip
macOS binaries:	r-release (arm64): lgarch_0.6-2.tgz, r-oldrel (arm64): lgarch_0.6-2.tgz, r-release (x86_64): lgarch_0.6-2.tgz, r-oldrel (x86_64): lgarch_0.6-2.tgz
Old sources:	lgarch archive

Reverse dependencies:

Reverse suggests:

gets

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