Package: lgarch
Type: Package
Title: Simulation and estimation of log-GARCH models
Version: 0.4
Depends: R (>= 2.15.0), zoo
Date: 2014-07-01
Author: Genaro Sucarrat
Maintainer: Genaro Sucarrat <genaro.sucarrat@bi.no>
URL: http://www.sucarrat.net/
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 simulates from a univariate and a multivariate log-GARCH model, respectively. The third function (lgarch) estimates a univariate log-GARCH model, whereas the last function (mlgarch) estimates a multivariate CCC-log-GARCH(1,1) model. 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: 2014-07-01 15:00:49 UTC; admin
NeedsCompilation: yes
Repository: CRAN
Date/Publication: 2014-07-01 18:32:54
