GARCHIto
Class of GARCH-Ito Models
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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling source/ R- | GARCHIto_0.1.0.tar.gz |
116.1 KiB |
0.1.0 |
rolling linux/jammy R-4.5 | GARCHIto_0.1.0.tar.gz |
143.8 KiB |
0.1.0 |
latest source/ R- | GARCHIto_0.1.0.tar.gz |
116.1 KiB |
0.1.0 |
latest linux/jammy R-4.5 | GARCHIto_0.1.0.tar.gz |
143.8 KiB |
0.1.0 |
2026-04-23 source/ R- | GARCHIto_0.1.0.tar.gz |
116.1 KiB |
0.1.0 |
2026-04-09 windows/windows R-4.5 | GARCHIto_0.1.0.zip |
146.4 KiB |
0.1.0 |
2025-04-20 source/ R- | GARCHIto_0.1.0.tar.gz |
116.1 KiB |