CRAN/E | mgarchBEKK

mgarchBEKK

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

Installation

About

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

github.com/vst/mgarchBEKK/

Key Metrics

Version	0.0.5
R	≥ 3.2.3
Published	2022-12-06 513 days ago
Needs compilation?	yes
License	GPL-3
CRAN checks	mgarchBEKK results

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Maintainer

Maintainer

Vehbi Sinan Tunalioglu

vst@vsthost.com

Authors

Harald Schmidbauer	aut
Angi Roesch	aut
Vehbi Sinan Tunalioglu	cre / aut

Material

README
NEWS
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

Old Sources

mgarchBEKK archive

Depends

R	≥ 3.2.3
tseries
mvtnorm

Suggests

testthat
devtools
roxygen2

Reverse Imports

VIRF