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.