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

AuthorKei Nakagawa [aut, cre] (<>)
MaintainerKei Nakagawa <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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GARCHSK documentation built on July 22, 2021, 9:08 a.m.