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lgarch (version 0.3)

Simulation and estimation of log-GARCH models

Description

Simulation and estimation of univariate log-GARCH models, and of the multivariate CCC-log-GARCH(1,1) model. The main functions of the package are lgarchSim, mlgarchSim, lgarch and mlgarch. The first two simulates from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimates a univariate and multivariate log-GARCH model, respectively. In addition, a collection of methods can be applied to objects of both the 'lgarch' and 'mlgarch' types: coef, fitted, logLik, print, residuals and vcov.

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Install

install.packages('lgarch')

Monthly Downloads

301

Version

0.3

License

GPL-2

Maintainer

Last Published

June 1st, 2014

Functions in lgarch (0.3)