Libraries: Garch: GARCH, GJR-GARCH and EGARCH volatility models with forecasts
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Garch: GARCH, GJR-GARCH and EGARCH volatility models with forecasts:
Fits GARCH(1,1), GJR-GARCH and EGARCH with normal, Student t or GED shocks by maximum likelihood, with robust standard errors and variance forecasts.
Author: Mohamed-amine Baddir