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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.
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Maintainer
| Maintainer | Xinyu Song |