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lgarch: Simulation and Estimation of Log-GARCH Models

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.

Version: 0.6-2
Depends: R (≥ 2.15.0), zoo
Published: 2015-09-15
DOI: 10.32614/CRAN.package.lgarch
Author: Genaro Sucarrat
Maintainer: Genaro Sucarrat <genaro.sucarrat at bi.no>
License: GPL-2
URL: http://www.sucarrat.net/
NeedsCompilation: yes
Materials: NEWS
In views: Finance
CRAN checks: lgarch results

Documentation:

Reference manual: lgarch.pdf

Downloads:

Package source: lgarch_0.6-2.tar.gz
Windows binaries: r-devel: lgarch_0.6-2.zip, r-release: lgarch_0.6-2.zip, r-oldrel: lgarch_0.6-2.zip
macOS binaries: r-release (arm64): lgarch_0.6-2.tgz, r-oldrel (arm64): lgarch_0.6-2.tgz, r-release (x86_64): lgarch_0.6-2.tgz, r-oldrel (x86_64): lgarch_0.6-2.tgz
Old sources: lgarch archive

Reverse dependencies:

Reverse suggests: garchx, gets

Linking:

Please use the canonical form https://CRAN.R-project.org/package=lgarch 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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