lgarch

Simulation and Estimation of Log-GARCH Models

CRAN Package

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.

  • Version0.6-2
  • R version≥ 2.15.0
  • LicenseGPL-2
  • Needs compilation?Yes
  • Last release09/15/2015

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  • Depends1 package
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