Package: lgarch
Type: Package
Title: Simulation and estimation of log-GARCH models
Version: 0.3
Depends: R (>= 2.15.0), zoo
Date: 2014-06-01
Author: Genaro Sucarrat
Maintainer: Genaro Sucarrat <genaro.sucarrat@bi.no>
URL: http://www.sucarrat.net/
Description: Simulation and estimation of univariate log-GARCH models, and of the multivariate CCC-log-GARCH(1,1) model. The main functions of the package are lgarchSim, mlgarchSim, lgarch and mlgarch. The first two simulates from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimates a univariate and multivariate log-GARCH model, respectively. In addition, a collection of methods can be applied to objects of both the 'lgarch' and 'mlgarch' types: coef, fitted, logLik, print, residuals and vcov.
License: GPL-2
Packaged: 2014-06-01 19:09:55 UTC; admin
NeedsCompilation: yes
Repository: CRAN
Date/Publication: 2014-06-02 01:17:15
