Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.
| Version: | 0.0.5 |
| Depends: | R (≥ 3.2.3), tseries, mvtnorm |
| Suggests: | testthat, devtools, roxygen2 |
| Published: | 2022-12-06 |
| DOI: | 10.32614/CRAN.package.mgarchBEKK |
| Author: | Harald Schmidbauer [aut], Angi Roesch [aut], Vehbi Sinan Tunalioglu [cre, aut] |
| Maintainer: | Vehbi Sinan Tunalioglu <vst at vsthost.com> |
| License: | GPL-3 |
| URL: | https://github.com/vst/mgarchBEKK/ |
| NeedsCompilation: | yes |
| Materials: | README NEWS |
| CRAN checks: | mgarchBEKK results |
| Reference manual: | mgarchBEKK.pdf |
| Package source: | mgarchBEKK_0.0.5.tar.gz |
| Windows binaries: | r-devel: mgarchBEKK_0.0.5.zip, r-release: mgarchBEKK_0.0.5.zip, r-oldrel: mgarchBEKK_0.0.5.zip |
| macOS binaries: | r-release (arm64): mgarchBEKK_0.0.5.tgz, r-oldrel (arm64): mgarchBEKK_0.0.5.tgz, r-release (x86_64): mgarchBEKK_0.0.5.tgz, r-oldrel (x86_64): mgarchBEKK_0.0.5.tgz |
| Old sources: | mgarchBEKK archive |
| Reverse imports: | VIRF |
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