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Provides functions to estimate model parameters and forecast future volatilities using the Unified GARCH-Ito [Kim and Wang (2016) <doi:10.1016/j.jeconom.2016.05.003>] and Realized GARCH-Ito [Song et. al. (2020) <doi:10.1016/j.jeconom.2020.07.007>] models. Optimization is done using augmented Lagrange multiplier method.
| Version: | 0.1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | Rsolnp, stats |
| Suggests: | knitr, rmarkdown |
| Published: | 2020-09-14 |
| Author: | Xinyu Song |
| Maintainer: | Xinyu Song <song.xinyu at mail.shufe.edu.cn> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | GARCHIto results |
| Reference manual: | GARCHIto.pdf |
| Vignettes: |
RealizedGARCHIto |
| Package source: | GARCHIto_0.1.0.tar.gz |
| Windows binaries: | r-devel: GARCHIto_0.1.0.zip, r-release: GARCHIto_0.1.0.zip, r-oldrel: GARCHIto_0.1.0.zip |
| macOS binaries: | r-release (arm64): GARCHIto_0.1.0.tgz, r-oldrel (arm64): GARCHIto_0.1.0.tgz, r-release (x86_64): GARCHIto_0.1.0.tgz, r-oldrel (x86_64): GARCHIto_0.1.0.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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