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 |
| DOI: | 10.32614/CRAN.package.lgarch |
| 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 |
| Reference manual: | lgarch.pdf |
| 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 suggests: | garchx, gets |
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