lgarch

MaRDI QIDQ37328swMATHCRANFDO

Authors Genaro Sucarrat

Last update 25 March 2025

Copyright license GNU General Public License, version 2.0

Software version identifier 0.6-2, PACKAGES.rds, 0.1, 0.2, 0.3, 0.4, 0.5, 0.7

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

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

Description

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.

Cited in

(6)

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

This page was built for software: lgarch