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lgarch  

Simulation and Estimation of Log-GARCH Models
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("lgarch", "0.7")



Attach the package and use:
library("lgarch")
Maintained by
Genaro Sucarrat
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2014-03-17
Latest Update: 2025-03-25
Description:
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.
How to cite:
Genaro Sucarrat (2014). lgarch: Simulation and Estimation of Log-GARCH Models. R package version 0.7, https://cran.r-project.org/web/packages/lgarch. Accessed 06 Mar. 2026.
Previous versions and publish date:
0.1 (2014-03-17 21:08), 0.2 (2014-04-29 22:05), 0.3 (2014-06-02 01:17), 0.4 (2014-07-01 18:32), 0.5 (2014-09-01 17:37), 0.6-2 (2015-09-15 19:46)
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Complete documentation for lgarch
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