R Package 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 a pdf-file.

Download

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