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gogarch: Generalized Orthogonal GARCH (GO-GARCH) Models
Provision of classes and methods for estimating generalized orthogonal GARCH models. This is an alternative approach to CC-GARCH models in the context of multivariate volatility modeling.
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Package details |
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| Author | Bernhard Pfaff [aut, cre] |
| Maintainer | Bernhard Pfaff <bernhard@pfaffikus.de> |
| License | GPL (>= 2) |
| Version | 0.7-5 |
| Package repository | View on R-Forge |
| Installation |
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