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gogarch

Description

The functions contained in the package gogarch facilitate the estimation of generalized orthogonal GARCH (GO-GARCH) models. The following estimation methods are implemented: fast ICA, Methods of Moments, non-linear Least-Squares and Maximum Likelihood. Aside of these estimation routines, methods for plotting, updating, predicting, retrieving the conditional correlations and covariances, residuals and coefficients are implemented as well as summarizing GO-GARCH models. The package is purely written in R and S4-classes are employed. The package does depend on the CRAN packges fGarch fastICA. For more information and references see the package's documentation.

Documentation

The current documentation can be downloaded as pdf-file here.

Download

The package is hosted on CRAN and development versions can be installed from R-Forge. The CRAN release of the package can also be downloaded from this site in its source or binary form.

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