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GARCHIto  

Class of GARCH-Ito Models
View on CRAN: Click here


Download and install GARCHIto package within the R console
Install from CRAN:
install.packages("GARCHIto")

Install from Github:
library("remotes")
install_github("cran/GARCHIto")

Install by package version:
library("remotes")
install_version("GARCHIto", "0.1.0")



Attach the package and use:
library("GARCHIto")
Maintained by
Xinyu Song
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-09-14
Latest Update: 2020-09-14
Description:
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.
How to cite:
Xinyu Song (2020). GARCHIto: Class of GARCH-Ito Models. R package version 0.1.0, https://cran.r-project.org/web/packages/GARCHIto. Accessed 22 Dec. 2024.
Previous versions and publish date:
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Other packages that cited GARCHIto R package
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Other R packages that GARCHIto depends, imports, suggests or enhances
Complete documentation for GARCHIto
Functions, R codes and Examples using the GARCHIto R package
Some associated functions: RealizedEst . RealizedEst_Option . UnifiedEst . sample_data . 
Some associated R codes: RealizedEst.R . RealizedEst_Option.R . UnifiedEst.R . sample_data.R .  Full GARCHIto package functions and examples
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