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.

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

Documentation:

Reference manual: mgarchBEKK.pdf

Downloads:

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 dependencies:

Reverse imports: VIRF

Linking:

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