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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.
Getting started
Browse package contents
Package details |
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| Author | Genaro Sucarrat |
| Maintainer | Genaro Sucarrat <genaro.sucarrat@bi.no> |
| License | GPL-2 |
| Version | 0.6-2 |
| URL | http://www.sucarrat.net/ |
| Package repository | View on CRAN |
| Installation |
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