Package: mgarchBEKK 0.0.5.9000

mgarchBEKK: Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes

Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.

Authors:Harald Schmidbauer [aut], Angi Roesch [aut], Vehbi Sinan Tunalioglu [cre, aut]

mgarchBEKK_0.0.5.9000.tar.gz
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mgarchBEKK_0.0.5.9000.tgz(r-4.4-x86_64)mgarchBEKK_0.0.5.9000.tgz(r-4.4-arm64)mgarchBEKK_0.0.5.9000.tgz(r-4.3-x86_64)mgarchBEKK_0.0.5.9000.tgz(r-4.3-arm64)
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mgarchBEKK.pdf |mgarchBEKK.html✨
mgarchBEKK/json (API)
NEWS

Peer review:

Bug tracker:https://github.com/vst/mgarchbekk/issues

On CRAN:

4 exports 14 stars 1.87 score 10 dependencies 1 dependents 17 scripts 320 downloads

Last updated 2 years agofrom:dc18de62fd. Checks:OK: 9. Indexed: yes.

Exports:BEKKdiagnoseBEKKmGJRsimulateBEKK

Dependencies:curljsonlitelatticemvtnormquadprogquantmodtseriesTTRxtszoo