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 Lagrange multiplier method.
Version: 0.1.0 Depends: R (≥ 2.10) Imports: Rsolnp, stats Suggests: knitr, rmarkdown Published: 2020-09-14 DOI: 10.32614/CRAN.package.GARCHIto Author: Xinyu Song Maintainer: Xinyu Song <song.xinyu at mail.shufe.edu.cn> License: GPL-3 NeedsCompilation: no Materials: README CRAN checks: GARCHIto results Documentation: Reference manual: GARCHIto.html , GARCHIto.pdf Vignettes: RealizedGARCHIto (source, R code)Please use the canonical form https://CRAN.R-project.org/package=GARCHIto to link to this page.
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