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 |
Reference manual: | GARCHIto.pdf |
Vignettes: |
RealizedGARCHIto |
Package source: | GARCHIto_0.1.0.tar.gz |
Windows binaries: | r-devel: GARCHIto_0.1.0.zip, r-release: GARCHIto_0.1.0.zip, r-oldrel: GARCHIto_0.1.0.zip |
macOS binaries: | r-release (arm64): GARCHIto_0.1.0.tgz, r-oldrel (arm64): GARCHIto_0.1.0.tgz, r-release (x86_64): GARCHIto_0.1.0.tgz, r-oldrel (x86_64): GARCHIto_0.1.0.tgz |
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