GARCHIto: Class of GARCH-Ito Models

Provides functions to estimate model parameters and forecast future volatilities using the Unified GARCH-Ito [Kim and Wang (2016) <doi:10.1016/j.jeconom.2016.05.003>] and Realized GARCH-Ito [Song et. al. (2020) <doi:10.1016/j.jeconom.2020.07.007>] models. Optimization is done using augmented Lagrange multiplier method.

Package details

AuthorXinyu Song
MaintainerXinyu Song <>
Package repositoryView on CRAN
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GARCHIto documentation built on Sept. 14, 2020, 5:06 p.m.