GARCHIto: 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.

Version: 0.1.0
Depends: R (≥ 2.10)
Imports: Rsolnp, stats
Suggests: knitr, rmarkdown
Published: 2020-09-14
DOI: 10.32614/CRAN.package.GARCHIto
Author: Xinyu Song
Maintainer: Xinyu Song <song.xinyu at>
License: GPL-3
NeedsCompilation: no
Materials: README
CRAN checks: GARCHIto results


Reference manual: GARCHIto.pdf
Vignettes: RealizedGARCHIto


Package source: GARCHIto_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): GARCHIto_0.1.0.tgz, r-oldrel (arm64): GARCHIto_0.1.0.tgz, r-release (x86_64): GARCHIto_0.1.0.tgz, r-oldrel (x86_64): GARCHIto_0.1.0.tgz


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