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.


Reference manual

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0.1.0 by Xinyu Song, a year ago

Browse source code at

Authors: Xinyu Song

Documentation:   PDF Manual  

GPL-3 license

Imports Rsolnp, stats

Suggests knitr, rmarkdown

See at CRAN