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lgarch (version 0.2)

Simulation and estimation of log-GARCH models

Description

Simulation and estimation of log-GARCH models.

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Version

Install

install.packages('lgarch')

Monthly Downloads

266

Version

0.2

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

April 29th, 2014

Functions in lgarch (0.2)

glag

Lag vector or matrix
lgarch

Estimate a log-GARCH model
coef.lgarch

Extraction methods for 'lgarch' objects
lgarch-package

Simulation and estimation of log-GARCH models
lgarchObjective

Auxiliary functions
rmnorm

Multivariate normal random number generation
lgarchSim

Simulate from a log-GARCH model
mlgarchSim

Simulate from a multivariate log-GARCH model