GARCHIto

cranv0.1.0

Class of GARCH-Ito Models. 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 Lagrang

License GPL-3strong copyleft0 versions1 maintainers2 deps77 weekly dl
https://CRAN.R-project.org/package=GARCHIto
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First published · 2020-09-14 10:44:34

Last updated · 2020-09-14T08:10:14+00:00