lgarch (0.6-2)

0 users

Simulation and Estimation of Log-GARCH Models.

http://www.sucarrat.net/
http://cran.r-project.org/web/packages/lgarch

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 2 years ago.


1 previous version

Ratings

Overall:

  (0 votes)

Documentation:

  (0 votes)

Log in to vote.

Reviews

No one has written a review of lgarch yet. Want to be the first? Write one now.


Related packages: ChainLadder, CreditMetrics, MSBVAR, PerformanceAnalytics, Rcmdr, TSdbi, TTR, Zelig, backtest, car, copula, dlm, dse, dyn, dynlm, fAssets, fBasics, fBonds, fCopulae, fExoticOptions(20 best matches, based on common tags.)


Search for lgarch on google, google scholar, r-help, r-devel.

Visit lgarch on R Graphical Manual.