gogarch
Generalized Orthogonal GARCH (GO-GARCH) Models
Provision of classes and methods for estimating generalized orthogonal GARCH models. This is an alternative approach to CC-GARCH models in the context of multivariate volatility modeling.
- Version0.7-5
- R version≥ 2.10.0 methods
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Last release04/29/2022
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Team
Bernhard Pfaff
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- Depends5 packages