GARCHIto0.1.0 package

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.

  • Maintainer: Xinyu Song
  • License: GPL-3
  • Last published: 2020-09-14