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.

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Description file content

Package
lgarch
Type
Package
Title
Simulation and Estimation of Log-GARCH Models
Version
0.6-2
Depends
R (>= 2.15.0), zoo
Date
2015-09-14
Author
Genaro Sucarrat
Maintainer
Genaro Sucarrat
URL
Description
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.
License
GPL-2
NeedsCompilation
yes
Packaged
2015-09-15 14:53:03 UTC; admin
Repository
CRAN
Date/Publication
2015-09-15 19:46:40

install.packages('lgarch')

0.6-2

03 years ago

http://www.sucarrat.net/

Genaro Sucarrat

GPL-2

Depends on

R (>= 2.15.0), zoo

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