R/gogarch

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. For more information and references see the package's documentation.
The current version is: 0.6-9 as of 4 May 2009. A ChangeLog file is shipped in its root directory such that any modifications are as transparent as possible to the user. You can view and download the changelog file by clicking on the following link: ChangeLog. The package has been written and is maintained by Bernhard Pfaff. Please adress correspondence to the email adress listed in the DESCRIPTION file of the package.

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

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The latest tarball can be downloaded here: gogarch_0.6-9.tar.gz
The latest windows binary can be downloaded here: gogarch_0.6-9.zip
Aside of these sources, the package is available on CRAN and it is hosted on R-Forge: GO-GARCH (daily snapshots, forum, email list, etc.).

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