lgarch (version 0.6-2)

Simulation and Estimation of Log-GARCH Models

Description

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.

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Install

install.packages('lgarch')

Monthly Downloads

301

Version

0.6-2

License

GPL-2

Maintainer

Last Published

September 15th, 2015

Functions in lgarch (0.6-2)