1. Introduction | 2. Model Specification | 2.1 Unified GARCH-Ito Model | 2.2 Realized GARCH-Ito Model | 3. Volatility Forecasting | 4. Further Extensions | References
Package: GARCHIto 0.1.0
Xinyu Song
GARCHIto: 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 Lagrange multiplier method.
Authors:
GARCHIto_0.1.0.tar.gz
GARCHIto_0.1.0.tar.gz(r-4.7-any)GARCHIto_0.1.0.tar.gz(r-4.6-any)
GARCHIto_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
GARCHIto/json (API)
| # Install 'GARCHIto' in R: |
| install.packages('GARCHIto', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Datasets:
- sample_data - CSI 300 Index Realized Measures
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:08c44d3719. Checks:4 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 117 | ||
| source / vignettes | OK | 168 | ||
| linux-release-x86_64 | OK | 115 | ||
| wasm-release | OK | 109 |
Exports:RealizedEstRealizedEst_OptionUnifiedEst
Dependencies:codetoolsdigestfuturefuture.applyglobalslistenvnumDerivparallellyRcppRcppArmadilloRsolnptruncnorm
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Realized GARCH-Ito Model | RealizedEst |
| Realized GARCH-Ito Model with Options | RealizedEst_Option |
| CSI 300 Index Realized Measures | sample_data |
| Unified GARCH-Ito Models | UnifiedEst |