Description
Class of GARCH-Ito Models.
Description
Provides functions to estimate model parameters and forecast future volatilities using the Unified GARCH-Ito [Kim and Wang (2016) <doi:10.1016/j.jeconom.2016.05.003>] and Realized GARCH-Ito [Song et. al. (2020) <doi:10.1016/j.jeconom.2020.07.007>] models. Optimization is done using augmented Lagrange multiplier method.
README.md
An implementation of the unified GARCH-Ito model from Kim and Wang (2016) and the realized GARCH-Ito model from Song et. al. (2020).
If you find any bugs or think improvements can be made, please contact me at: