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lgarch (version 0.7)

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

436

Version

0.7

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

March 25th, 2025

Functions in lgarch (0.7)

coef.mlgarch

Extraction methods for 'mlgarch' objects
mlgarchSim

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

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

Random number generation from the multivariate normal distribution
lgarchSim

Simulate from a univariate log-GARCH model
lgarch-package

Simulation and estimation of log-GARCH models
coef.lgarch

Extraction methods for 'lgarch' objects
mlgarch

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

Auxiliary functions
lgarchObjective

Auxiliary functions
lgarch

Estimate a log-GARCH model
gdiff

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