Estimation and simulation of the first-order Beta-t-EGARCH model of Andrew Harvey. The two main functions are tegarch.sim and tegarch.est. The former simulates a first order Beta-t-EGARCH model whereas the latter estimates one. The other functions are auxiliary functions called by tegarch.est, and are not intended for the average user. However, for completeness they are documented as well.
| Version: | 1.3 |
| Depends: | R (≥ 2.15.1) |
| Published: | 2012-09-06 |
| Author: | Genaro Sucarrat |
| Maintainer: | Genaro Sucarrat <genaro.sucarrat at bi.no> |
| License: | GPL-2 |
| URL: | http://www.sucarrat.net/ |
| NeedsCompilation: | yes |
| In views: | Finance |
| CRAN checks: | betategarch results |
| Package source: | betategarch_1.3.tar.gz |
| MacOS X binary: | betategarch_1.3.tgz |
| Windows binary: | betategarch_1.3.zip |
| Reference manual: | betategarch.pdf |
| Old sources: | betategarch archive |