GARCHIto: Class of GARCH-Ito Models

Provides functions to estimate model parameters and forecast future volatilities using the Unified GARCH-Ito [Kim and Wang (2016) <doi:10.1016/j.jeconom.2016.05.003>] and Realized GARCH-Ito [Song et. al. (2020) <doi:10.1016/j.jeconom.2020.07.007>] models. Optimization is done using augmented Lagrange multiplier method.

Version: 0.1.0
Depends: R (≥ 2.10)
Imports: Rsolnp, stats
Suggests: knitr, rmarkdown
Published: 2020-09-14
Author: Xinyu Song
Maintainer: Xinyu Song <song.xinyu at mail.shufe.edu.cn>
License: GPL-3
NeedsCompilation: no
Materials: README
CRAN checks: GARCHIto results

Downloads:

Reference manual: GARCHIto.pdf
Vignettes: RealizedGARCHIto
Package source: GARCHIto_0.1.0.tar.gz
Windows binaries: r-devel: GARCHIto_0.1.0.zip, r-release: GARCHIto_0.1.0.zip, r-oldrel: GARCHIto_0.1.0.zip
macOS binaries: r-release: GARCHIto_0.1.0.tgz, r-oldrel: GARCHIto_0.1.0.tgz

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