Generalized Orthogonal GARCH (GO-GARCH) Models [R package gogarch version 0.7-5]

Bernhard Pfaff

gogarch: Generalized Orthogonal GARCH (GO-GARCH) Models

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
Author:	Bernhard Pfaff [aut, cre]
Maintainer:	Bernhard Pfaff <bernhard at pfaffikus.de>
License:	GPL-2 \| GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation:	no
Materials:	ChangeLog
In views:	Finance
CRAN checks:	gogarch results

Documentation:

Reference manual:

gogarch.pdf

Downloads:

Package source:	gogarch_0.7-5.tar.gz
Windows binaries:	r-devel: gogarch_0.7-5.zip, r-release: gogarch_0.7-5.zip, r-oldrel: gogarch_0.7-5.zip
macOS binaries:	r-release (arm64): gogarch_0.7-5.tgz, r-oldrel (arm64): gogarch_0.7-5.tgz, r-release (x86_64): gogarch_0.7-5.tgz, r-oldrel (x86_64): gogarch_0.7-5.tgz
Old sources:	gogarch archive

Linking:

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