lgarch: Simulation and estimation of log-GARCH models

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 simulates from a univariate and a multivariate log-GARCH model, respectively. The third function (lgarch) estimates a univariate log-GARCH model, whereas the last function (mlgarch) estimates a multivariate CCC-log-GARCH(1,1) model. A collection of methods can be applied to objects of both the 'lgarch' and 'mlgarch' types: coef, fitted, logLik, print, residuals and vcov.

Version: 0.4
Depends: R (≥ 2.15.0), zoo
Published: 2014-07-01
Author: Genaro Sucarrat
Maintainer: Genaro Sucarrat <genaro.sucarrat at bi.no>
License: GPL-2
URL: http://www.sucarrat.net/
NeedsCompilation: yes
In views: Finance, TimeSeries
CRAN checks: lgarch results

Downloads:

Reference manual: lgarch.pdf
Package source: lgarch_0.4.tar.gz
Windows binaries: r-devel: lgarch_0.4.zip, r-release: lgarch_0.4.zip, r-oldrel: lgarch_0.4.zip
OS X Snow Leopard binaries: r-release: lgarch_0.4.tgz, r-oldrel: lgarch_0.4.tgz
OS X Mavericks binaries: r-release: lgarch_0.4.tgz
Old sources: lgarch archive