lgarch

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Simulation and Estimation of Log-GARCH Models

Genaro Sucarrat

Last update: 15 September 2015

Copyright license: GNU General Public License, version 2.0

Software version identifier: 0.6-2

Official website: https://cran.r-project.org/web/packages/lgarch/index.html

Source code repository: https://github.com/cran/lgarch

Cited In (6)

• Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
• AS 154
• AutoSEARCH
• gets
• GEVStableGarch
• An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns

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