Class of GARCH-Ito Models

Provides functions to estimate model parameters and forecast future volatilities using the Unified GARCH-Ito [Kim and Wang (2016) ] and Realized GARCH-Ito [Song et. al. (2020) ] models. Optimization is done using augmented Lagrange multiplier method.

An implementation of the unified GARCH-Ito model from Kim and Wang (2016) and the realized GARCH-Ito model from Song et. al. (2020).

If you find any bugs or think improvements can be made, please contact me at:

[email protected]