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 functions simulate from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimate a univariate and multivariate log-GARCH model, respectively. A collection of methods can be applied to objects of both the 'lgarch' and 'mlgarch' types: coef, fitted, logLik, print, residuals, summary and vcov.