lgarch (0.6-2)

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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.

Maintainer: Genaro Sucarrat
Author(s): Genaro Sucarrat

License: GPL-2

Uses: zoo
Reverse depends: AutoSEARCH, gets
Reverse suggests: gets

Released about 4 years ago.

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