CRAN/E | VIRF

VIRF

Computation of Volatility Impulse Response Function of Multivariate Time Series

Installation

About

Computation of volatility impulse response function for multivariate time series model using algorithm by Jin, Lin and Tamvakis (2012) .

Key Metrics

Version 0.1.0
Published 2019-05-01 1821 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks VIRF results

Downloads

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Maintainer

Maintainer

Dr. Ranjit Kumar Paul

ranjitstat@gmail.com

Authors

Dr. Ranjit Kumar Paul
Mr. Ankit Tanwar

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Imports

stats
rmgarch
mgarchBEKK
gnm
expm
BigVAR
ks
matrixcalc
matlib