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lgarch (version 0.6-2)

Simulation and Estimation of Log-GARCH Models

Description

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.

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Version

Install

install.packages('lgarch')

Monthly Downloads

255

Version

0.6-2

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

September 15th, 2015

Functions in lgarch (0.6-2)

mlgarch

Estimate a multivariate CCC-log-GARCH(1,1) model
lgarchObjective

Auxiliary functions
lgarchSim

Simulate from a univariate log-GARCH model
lgarch-package

Simulation and estimation of log-GARCH models
glag

Lag a vector or a matrix, with special treatment of zoo objects
mlgarchSim

Simulate from a multivariate log-GARCH(1,1) model
lgarch

Estimate a log-GARCH model
gdiff

Difference a vector or a matrix, with special treatment of zoo objects
rmnorm

Random number generation from the multivariate normal distribution
coef.mlgarch

Extraction methods for 'mlgarch' objects
coef.lgarch

Extraction methods for 'lgarch' objects
mlgarchObjective

Auxiliary functions