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.

Getting started

Package details

AuthorKei Nakagawa [aut, cre] (<https://orcid.org/0000-0001-5046-8128>)
MaintainerKei Nakagawa <kei.nak.0315@gmail.com>
LicenseGPL (>= 2)
Version0.1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("GARCHSK")

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GARCHSK documentation built on July 22, 2021, 9:08 a.m.