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
DOI: 10.32614/CRAN.package.gogarch
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


Reference manual: gogarch.pdf


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


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