Package: lgarch 0.7
Genaro Sucarrat
lgarch: Simulation and Estimation of Log-GARCH Models
Simulation and estimation of univariate and multivariate log-GARCH models. The main functions of the package are: lgarchSim(), mlgarchSim(), lgarch() and mlgarch(). The first two functions simulate from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimate a univariate and multivariate log-GARCH model, respectively.
Authors:
lgarch_0.7.tar.gz
lgarch_0.7.tar.gz(r-4.5-noble)lgarch_0.7.tar.gz(r-4.4-noble)
lgarch_0.7.tgz(r-4.4-emscripten)lgarch_0.7.tgz(r-4.3-emscripten)
lgarch.pdf |lgarch.html✨
lgarch/json (API)
NEWS
| # Install 'lgarch' in R: |
| install.packages('lgarch', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 15 hours agofrom:44dc31a07b. Checks:3 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Mar 25 2025 |
| R-4.5-linux-x86_64 | OK | Mar 25 2025 |
| R-4.4-linux-x86_64 | OK | Mar 25 2025 |
Exports:gdiffglaglgarchlgarchObjectivelgarchRecursion1lgarchSimmlgarchmlgarchObjectivemlgarchRecursion1mlgarchSimrmnormrss
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Simulation and estimation of log-GARCH models | lgarch-package |
| Extraction methods for 'lgarch' objects | coef.lgarch fitted.lgarch logLik.lgarch print.lgarch residuals.lgarch rss summary.lgarch vcov.lgarch |
| Extraction methods for 'mlgarch' objects | coef.mlgarch fitted.mlgarch logLik.mlgarch print.mlgarch residuals.mlgarch summary.mlgarch vcov.mlgarch |
| Difference a vector or a matrix, with special treatment of 'zoo' objects | gdiff |
| Lag a vector or a matrix, with special treatment of 'zoo' objects | glag |
| Estimate a log-GARCH model | lgarch |
| Auxiliary functions | lgarchObjective lgarchRecursion1 |
| Simulate from a univariate log-GARCH model | lgarchSim |
| Estimate a multivariate CCC-log-GARCH(1,1) model | mlgarch |
| Auxiliary functions | mlgarchObjective mlgarchRecursion1 |
| Simulate from a multivariate log-GARCH(1,1) model | mlgarchSim |
| Random number generation from the multivariate normal distribution | rmnorm |