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-4.5-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')) |
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 4 years agofrom:08c44d3719. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 26 2024 |
| R-4.5-linux | OK | Oct 26 2024 |
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 |