Simulation and Estimation of Log-GARCH Models
Extraction methods for 'lgarch' objects
Extraction methods for 'mlgarch' objects
Difference a vector or a matrix, with special treatment of zoo objects
Lag a vector or a matrix, with special treatment of zoo objects
Simulation and estimation of log-GARCH models
Estimate a log-GARCH model
Auxiliary functions
Simulate from a univariate log-GARCH model
Estimate a multivariate CCC-log-GARCH(1,1) model
Auxiliary functions
Simulate from a multivariate log-GARCH(1,1) model
Random number generation from the multivariate normal distribution
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.