gogarch: Generalized Orthogonal GARCH (GO-GARCH) Models (original) (raw)
Provision of classes and methods for estimating generalized orthogonal GARCH models. This is an alternative approach to CC-GARCH models in the context of multivariate volatility modeling.
| Version: | 0.7-5 |
|---|---|
| Depends: | R (≥ 2.10.0), methods, stats, graphics, fGarch, fastICA |
| Published: | 2022-04-29 |
| DOI: | 10.32614/CRAN.package.gogarch |
| Author: | Bernhard Pfaff [aut, cre] |
| Maintainer: | Bernhard Pfaff |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Materials: | |
| In views: | Finance |
| CRAN checks: | gogarch results |
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