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gogarch: Generalized Orthogonal GARCH (GO-GARCH) Models

Provision of classes and methods for estimating generalized orthogonal GARCH models. This is an alternative approach to CC-GARCH models in the context of multivariate volatility modeling.

Version: 0.7-5
Depends: R (≥ 2.10.0), methods, stats, graphics, fGarch, fastICA
Published: 2022-04-29
DOI: 10.32614/CRAN.package.gogarch
Author: Bernhard Pfaff [aut, cre]
Maintainer: Bernhard Pfaff <bernhard at pfaffikus.de>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: ChangeLog
In views: Finance
CRAN checks: gogarch results

Documentation:

Reference manual: gogarch.pdf

Downloads:

Package source: gogarch_0.7-5.tar.gz
Windows binaries: r-devel: gogarch_0.7-5.zip, r-release: gogarch_0.7-5.zip, r-oldrel: gogarch_0.7-5.zip
macOS binaries: r-release (arm64): gogarch_0.7-5.tgz, r-oldrel (arm64): gogarch_0.7-5.tgz, r-release (x86_64): gogarch_0.7-5.tgz, r-oldrel (x86_64): gogarch_0.7-5.tgz
Old sources: gogarch archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=gogarch to link to this page.

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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