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.

Documentation

Manual: lgarch.pdf
Vignette: None available.

Maintainer: Genaro Sucarrat <genaro.sucarrat at bi.no>

Author(s): Genaro Sucarrat

Install package and any missing dependencies by running this line in your R console:

install.packages("lgarch")

Depends R (>= 2.15.0), zoo
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Package lgarch
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URL http://www.sucarrat.net/
Task Views Finance
Version 0.6-2
Published 2015-09-15
License GPL-2
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NeedsCompilation yes
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Package source lgarch_0.6-2.tar.gz