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.


Changes to version 0.6-2 (14 September 2015):

  • lgarch:
  • Formula for the variance-covariance matrix of the ARMA-representation corrected when method="ls"

  • improved column-names handling of X-regressors

  • the dates/index of regressor(s), i.e. the xreg argument, is automatically matched with dates/index of the regressand

Main changes to version 0.5 (1 September 2014):

  • lgarchSim: c.code argument added with default TRUE (i.e. compiled C-code is used for the recursion; this speeds up simulations considerably)

  • S3 method summary added for lgarch and mlgarch objects

  • lgarch, mlgarch: backcast.values argument removed

  • lgarchRecursion1: for improved numerical stability the backcast values of ln(y^2) was changed to the empirical mean. Also, a bug that occurred whenever c.code=FALSE was corrected

Main changes to version 0.4 (1 July 2014):

  • lgarch:
  • mean-correction as estimation-option added
  • a third estimation method was added: QML via the centred Chi-squared distribution as instrumental density

  • fitted.lgarch: bug fix (the bug induced incorrect fitted values at zero-locations)

  • stylistic changes to the documentation

Main changes to version 0.3 (1 June 2014):

  • functions and S3 methods for the simulation and estimation of the multivariate CCC-log-GARCH(1,1) model were added

  • gdiff function added

  • rss.lgarch function changed name to rss

  • zoo-related bug corrected in glag

  • glag function: improved further, and the pad argument in the glag function acquired a new default (TRUE)

  • minor improvements throughout, and several stylistic changes made to the documentation

Main changes to version 0.2 (28 April 2014):

  • lgarch function: A couple of bugs corrected in the parameter-indexing, which ocurred whenever the garch order argument was set to 0

  • glag: Completely rewritten. Now it can also lag matrices, and it gives a "special treatment" to zoo-objects (the indexing is retained)

  • function lgarchLogl changed name to lgarchObjective

  • argument logl.penalty in lgarch function changed to objective.penalty

  • lgarch function: the argument method=c("ml","ls") was added. If method="ml", then estimation is with Gaussian QML via the ARMA representation. If method="ls", then estimation is with least squares via the ARMA representation. Although asymptotically equivalent in most respects, the latter is slightly faster since one parameter less is estimated

  • function rss.lgarch added (extract Residual Sum of Squares of ARMA representation) from an lgarch object

  • function mlgarchSim added (simulate from a multivariate log-GARCH(1,1))

  • function rmnorm added (generate from multivariate normal)

Version 0.1 (18 March 2014):

  • All versions until 1.0 should be considered as Beta-versions

Reference manual

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0.6-2 by Genaro Sucarrat, 6 years ago

Browse source code at

Authors: Genaro Sucarrat

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-2 license

Depends on zoo

Depended on by AutoSEARCH.

Suggested by gets.

See at CRAN