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GARCHSK: Estimating a GARCHSK Model and GJRSK Model
Functions for estimating a GARCHSK model and GJRSK model based on a publication by Leon et,al (2005)<doi:10.1016/j.qref.2004.12.020> and Nakagawa and Uchiyama (2020)<doi:10.3390/math8111990>. These are a GARCH-type model allowing for time-varying volatility, skewness and kurtosis.
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Package details |
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| Author | Kei Nakagawa [aut, cre] (<https://orcid.org/0000-0001-5046-8128>) |
| Maintainer | Kei Nakagawa <kei.nak.0315@gmail.com> |
| License | GPL (>= 2) |
| Version | 0.1.0 |
| Package repository | View on CRAN |
| Installation |
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