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:Xinyu Song

GARCHIto_0.1.0.tar.gz
GARCHIto_0.1.0.tar.gz(r-4.5-noble)GARCHIto_0.1.0.tar.gz(r-4.4-noble)
GARCHIto_0.1.0.tgz(r-4.4-emscripten)GARCHIto_0.1.0.tgz(r-4.3-emscripten)
GARCHIto.pdf |GARCHIto.html✨
GARCHIto/json (API)

# Install 'GARCHIto' in R:
install.packages('GARCHIto', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

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This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

3 exports 1 stars 0.00 score 2 dependencies 191 downloads

Last updated 4 years agofrom:08c44d3719. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKAug 27 2024
R-4.5-linuxOKAug 27 2024

Exports:RealizedEstRealizedEst_OptionUnifiedEst

Dependencies:Rsolnptruncnorm

Introduction to the RealizedGARCHIto Package

Xinyu Song

Rendered fromGARCHIto.Rmdusingknitr::rmarkdownon Aug 27 2024.

Last update: 2020-09-14
Started: 2020-09-14