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.


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Reference manual

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install.packages("GARCHIto")

0.1.0 by Xinyu Song, a month ago


Browse source code at https://github.com/cran/GARCHIto


Authors: Xinyu Song


Documentation:   PDF Manual  


GPL-3 license


Imports Rsolnp, stats

Suggests knitr, rmarkdown


See at CRAN