lgarch (Q37328)
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Simulation and Estimation of Log-GARCH Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | lgarch |
Simulation and Estimation of Log-GARCH Models |
Statements
25 March 2025
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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.
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Identifiers
10 January 2021
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